Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?
Arthur J. Lin, Hai Yen Chang, Jung Lieh Hsiao
| Year of publication: |
2019
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|---|---|
| Authors: | Lin, Arthur J. ; Chang, Hai Yen ; Hsiao, Jung Lieh |
| Published in: |
Transportation research / E : an international journal. - Amsterdam : Elsevier, ISSN 1366-5545, ZDB-ID 1380969-6. - Vol. 127.2019, p. 265-283
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| Subject: | Volatility spillover | VAR-BEKK-GARCH-X model | Baltic Dry Index | Dry bulk shipping | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Massengutschifffahrt | Aktienindex | Stock index | Baltische Staaten | Baltic countries | Welt | World | Aktienmarkt | Stock market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.tre.2019.05.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012041141