Does WTI oil price returns volatility spillover to the exchange rate and stock index in the US?
Ching-Chun Wei; Chung-Hsuan Chen
| Year of publication: |
2014
|
|---|---|
| Authors: | Wei, Ching Chun ; Chen, Chung-Hsuan |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 4.2014, 2, p. 189-197
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| Subject: | Oil spot and futures | Exchange rate | Stock index market | Multivariate GARCH-BEKK | Volatilität | Volatility | Wechselkurs | Ölpreis | Oil price | Aktienindex | Stock index | USA | United States | Index-Futures | Index futures | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Spillover-Effekt | Spillover effect | Ölmarkt | Oil market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011286260