TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
AU  - Tansuchat, Roengchai
PY  - 2011
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/49035
AB  - This paper investigates the conditional correlations and volatility spillovers between the crude oil and financial markets, based on crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot,...
LA  - eng
KW  - Multivariate GARCH
KW  - Volatility spillovers
KW  - Conditional correlations
KW  - Crude oil prices
KW  - Spot
KW  - Forward and futures prices
KW  - Stock indexes.
TI  - Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
TY  - technical report
VL  - 2011
ER  -