Volatility Transmission in Crude Oil, Gold, Standard and Poor’s 500 and US Dollar Index Futures using Vector AutoregressiveMultivariate Generalized Autoregressive Conditional Heteroskedasticity Model
This paper examined volatility transmission in the crude oil, gold, S&P 500 and US Dollar Index futures. The data used in this study was the daily data from 2010 to 2015. The four VAR- MGARCH models, namely the VAR (2)-diagonal VECH, the VAR (2)-diagonal BEKK, the VAR (2)-CCC and the VAR (2)...
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| Format: | Article |
| Language: | English |
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EconJournals
2016-03-01
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| Series: | International Journal of Energy Economics and Policy |
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| Online Access: | https://dergipark.org.tr/tr/pub/ijeeep/issue/31916/351052?publisher=http-www-cag-edu-tr-ilhan-ozturk |