Volatility transmission in crude oil, gold, Standard and Poor's 500 and US Dollar Index futures using vector autoregressive-multivariate generalized autoregressive conditional heteroskedasticity model
Tanattrin Bunnag
| Year of publication: |
2016
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|---|---|
| Authors: | Tanattrin Bunnag |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 6.2016, 1, p. 39-52
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| Subject: | Volatility Transmission, crude oil futures | gold futures | S&P 500 futures | US Dollar Index futures | VAR-MGARCH | Volatilität | Volatility | USA | United States | Index-Futures | Index futures | Währungsderivat | Currency derivative | Erdöl | Petroleum | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | US-Dollar | US dollar | Gold | Welt | World | Derivat | Derivative | Goldstandard | Gold standard |
| 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/10011448160