Volatility transmission across currencies and commodities with US uncertainty measures
Ahmed A.A. Khalifa, Edoardo Otranto, Shawkat Hammoudeh, Sanjay Ramchander
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Khalifa, Ahmed A. A. ; Otranto, Edoardo ; Hammoudeh, Shawkat ; Ramchander, Sanjay |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 63-83
|
| Subject: | Markov switching | Commodities | FX | US uncertainty measures | Volatility transmission | Volatilität | Volatility | Risiko | Risk | Markov-Kette | Markov chain | Schätzung | Estimation | Theorie | Theory | Welt | World | ARCH-Modell | ARCH model | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2016.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672897