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 Proceeding |
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2018
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| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=80052980962&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/59499 |
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| 機構: | Chiang Mai University |