Crude oil price volatility spillovers and agricultural commodities : a study in time and frequency domains
Year of publication: |
August 2017
|
---|---|
Authors: | Adrangi, Bahram ; Chatrath, Arjun ; Macri, Joseph ; Raffiee, Kambiz |
Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - Vol. 9.2017, 3, p. 42-56
|
Subject: | Crude oil prices | Volatility | EGARCH model | Spectral analysis | Cross spectral | Volatilität | Ölpreis | Oil price | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Welt | World | Schätzung | Estimation |
-
Wen, Fenghua, (2018)
-
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin, (2013)
-
A nonparametric GARCH model of crude oil price return volatility
Hou, Aijun, (2012)
- More ...
-
Adrangi, Bahram, (2020)
-
Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram, (2019)
-
The US monetary base and major world equity markets : an empirical investigation
Adrangi, Bahram, (2016)
- More ...