Volatility spillovers between crude oil futures returns and oil company stock returns
The purpose of this paper is to investigate volatility spillovers between crude oil futures returns and oil company stock returns by using the recent multivariate GARCH model, namely the CCC of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003) and VARMA-AGARCH model of McAleer, et al....
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| Main Authors: | , , |
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| 格式: | Conference or Workshop Item |
| 語言: | English |
| 出版: |
2014
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| 在線閱讀: | http://www.scopus.com/inward/record.url?eid=2-s2.0-80052980962&partnerID=40&md5=7618b1c1e6ba163e5c91d1e90d1cb53c http://cmuir.cmu.ac.th/handle/6653943832/1200 |
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