Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Aysegul Kirkpinar
| Year of publication: |
2020
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|---|---|
| Authors: | Kirkpinar, Aysegul |
| Published in: |
Contemporary issues in business economics and finance. - Bingley, UK : Emerald Publishing, ISBN 978-1-83909-605-1. - 2020, p. 45-56
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| Subject: | Volatility spillover | Markov switching model | commodity markets | precious metals | oil | portfolio management | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Ölpreis | Oil price | Rohstoffmarkt | Commodity market | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Rohstoffpreis | Commodity price | Welt | World | Rohstoffderivat | Commodity derivative | Markov-Kette | Markov chain |