Conditional correlations and volatility spillovers between crude oil and stock index returns

North American Journal of Economics and Finance

Volumn 25, Issue , 2013, Pages 116-138

  Chang, Chia Lin ^a   McAleer, Michael ^b,c,d   Tansuchat, Roengchai ^e  

^a NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c TINBERGEN INSTITUTE   (Netherlands)

^d KYOTO UNIVERSITY   (Japan)

^e MAEJO UNIVERSITY   (Thailand)

Author keywords

Conditional correlations; Crude oil prices; Forward and futures prices; Multivariate GARCH; Spot; Stock indices; Volatility spillovers

Indexed keywords

EID: 84879100579     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2012.06.002     Document Type: Article

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