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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Bibliographic Details
Main Authors: R. Tansuchat, M. McAleer, C. Chang
Format: Conference Proceeding
Published: 2018
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Online Access: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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Institution: Chiang Mai University

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