Crude oil volatility transmission across food commodity markets : a multivariate BEKK-GARCH approach
M. Thenmozhi and Shipra Maurya
| Year of publication: |
2021
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|---|---|
| Authors: | Thenmozhi, M. ; Maurya, Shipra |
| Published in: |
Journal of emerging market finance. - Thousand Oaks, Calif. : Sage Publications, ISSN 0973-0710, ZDB-ID 2180453-9. - Vol. 20.2021, 2, p. 131-164
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| Subject: | Volatility spillover | commodity futures | crude oil price | agricultural commodity | BEKK-GARCH model | biofuel | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | ARCH-Modell | ARCH model | Welt | World | Biokraftstoff | Biofuel | Erdöl | Petroleum | Rohstoffpreis | Commodity price | Agrarpreis | Agricultural price | Ölmarkt | Oil market | Spillover-Effekt | Spillover effect | Rohstoffmarkt | Commodity market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972652720927623 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012592434