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

• المؤلفون الرئيسيون: R. Tansuchat, M. McAleer, C. Chang
• التنسيق: وقائع المؤتمر
• منشور في: 2020
• الموضوعات: Mathematics
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85086228591&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/70741

© MODSIM 2009.All rights reserved. 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 VAR...