Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
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DOI: 10.1016/j.eneco.2016.12.011
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More about this item
Keywords
Dynamic spillover; Financial crisis; Directional and net spillover index; Multivariate DECO-GARCH model; Time-varying hedge ratio;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
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