Volatility spillovers between crude oil futures returns and oil company stock returns

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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書目詳細資料
Main Authors:	R. Tansuchat, M. McAleer, C. Chang
格式:	Conference Proceeding
出版:	2018
主題:	Computer Science Mathematics
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=80052980962&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/49005
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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