Using the EGARCH model to examine returns and volatility spillovers in the crude oil and gold markets
Tzu-Kuang Hsu, Chin-Chang Tsai
| Year of publication: |
March 2016
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|---|---|
| Authors: | Hsu, Tzu-Kuang ; Tsai, Chin-Chang |
| Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 15.2016, 3, p. 239-244
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| Subject: | Crude Oil Prices | Gold Prices | Exponential Generalized Autoregressive Conditional Heteroskedasticity Model | Volatilität | Volatility | Ölpreis | Oil price | ARCH-Modell | ARCH model | Gold | Spillover-Effekt | Spillover effect | Erdöl | Petroleum | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011580516