Conditional correlations and volatility spillovers between crude oil and stock index returns
Chia-Lin Chang; Michael McAleer; Roengchai Tansuchat
| Year of publication: |
2013
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|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael ; Roengchai Tansuchat |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 25.2013, p. 116-138
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| Subject: | Multivariate GARCH | Volatility spillovers | Conditional correlations | Crude oil prices | Spot | Forward and futures prices | Stock indices | Volatilität | Volatility | ARCH-Modell | ARCH model | Ölpreis | Oil price | Aktienindex | Stock index | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Welt | World | Börsenkurs | Share price | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009777824