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Volatility Spillovers and Nexus across Oil, Gold, and Stock European Markets
This paper utilises a trivariate VAR-BEKK-GARCH model to investigate the dynamic relationships between global oil price, gold price, and European stock markets. This paper observes weak return spillover effects from the oil market to 6 European stock markets (Netherlands, Lithuania, Portugal, Czech...
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| Autor principal: | |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Pompea College of Business
2022-05-01
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| Colección: | American Business Review |
| Materias: | |
| Acceso en línea: | https://digitalcommons.newhaven.edu/americanbusinessreview/vol25/iss1/9/ |
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