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: R. Tansuchat, M. McAleer, C. Chang
格式: Conference Proceeding
出版: 2018
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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
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機構: Chiang Mai University

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