Volatility returns with vengeance: Financial markets vs. commodities
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DOI: 10.1016/j.ribaf.2014.04.003
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Other versions of this item:
- Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
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More about this item
Keywords
Volatility spillovers; Financial Markets; Commodities; ADCCX; Bonds; Stocks;All these keywords.
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
Statistics
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