Volatility spillover effect in commodity derivatives market : empirical evidence through generalized impulse response function
Bhabani Sankar Rout, Nupur Moni Das, K. Chandrasekhara Rao
| Year of publication: |
2019
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|---|---|
| Authors: | Rout, Bhabani Sankar ; Das, Nupur Moni ; Rao, Kode Chandra Sekhara |
| Published in: |
Vision : the journal of business perspective. - London [u.a.] : Sage Publ., ISSN 2249-5304, ZDB-ID 2220768-5. - Vol. 23.2019, 4, p. 374-396
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| Subject: | Volatility Pattern | Lead-Lag Relationship | Influential Direction | Generalized Impulse Response Function | Volatility Spillover | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | Schock | Shock | ARCH-Modell | ARCH model | Börsenkurs | Share price | VAR-Modell | VAR model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972262919850916 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012161730