Correlations and volatility spillovers across commodity and stock markets : linking energies, food, and gold
Year of publication: |
2013
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Authors: | Mensi, Walid ; Beljid, Makram ; Boubaker, Adel ; Managi, Shunsuke |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 32.2013, p. 15-22
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Subject: | Stock markets | Commodity prices | Volatility spillovers | Hedge ratios | VAR-GARCH models | Energy price | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Rohstoffpreis | Commodity price | Energiemarkt | Energy market | Rohstoffderivat | Commodity derivative | Aktienmarkt | Stock market | Ölpreis | Oil price | Hedging | Börsenkurs | Share price | Energiepreis | Lebensmittelpreis | Food price | Korrelation | Correlation |
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