Volatility returns with vengeance: Financial markets vs. commodities
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DOI: 10.1016/j.ribaf.2014.04.003
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- Sofiane Aboura & Julien Chevallier, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Post-Print hal-01529747, HAL.
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More about this item
Keywords
Volatility spillovers; Financial markets; Commodities; ADCCX;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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