Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and...