Modelling time varying volatility spillovers and conditional correlations across commodity metal futures
Menelaos Karanasos, Faek Menla Ali, Zannis Margaronis, Rajat Nath
| Year of publication: |
2018
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|---|---|
| Authors: | Karanasos, Menelaos ; Ali, Faek Menla ; Margaronis, Zannis ; Nath, Rajat |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 57.2018, p. 246-256
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| Subject: | Financial crisis | Metal futures | Structural breaks | Time-varying volatility spillovers | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Finanzkrise | Strukturbruch | Structural break | Korrelation | Correlation | Welt | World | Rohstoffderivat | Commodity derivative | Metallmarkt | Metal market | Rohstoffmarkt | Commodity market |