S Sehgal, N Berlia, W Ahmad - International Journal of …, 2013 - epe.lac-bac.gc.ca
This paper examines the price discovery and volatility spillovers between spot and futures as well as futures prices of three strategically linked oil markets viz., ICE, MCX and NYMEX …
This paper investigates the nature of volatility spillovers between precious metals returns over the 1995-July 2007 period. We analyzed daily closing values for precious metals data …
A Goyal, S Tripathi - International Review of Applied Financial Issues and …, 2012 - igidr.ac.in
In a period of great oil price volatility, the paper assesses the role of expected net demand compared to liquidity and leverage driven expansion in net long positions. We apply time …
F Spargoli, P Zagaglia - Bank of Finland Research Discussion …, 2008 - papers.ssrn.com
This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 months. We identify a structural multivariate …
This thesis examines the interlinkages between equity, currency, precious metals and oil markets. The study follows an international approach with a special focus on emerging …
J Gutiérrez - Problemas del desarrollo, 2018 - scielo.org.mx
Raúl de Jesús Gutiérrez1 Abstract This paper sets out to use the bivariate VEC-EGARCH model with constant correlations to ana Page 1 Volume 49, Number 192, January-March 2018 …
RM Balanay - Annals of Studies in Science and Humanities, 2015 - academia.edu
Analyzing Price Volatility and Supply Response of Duck Eggs in the Philippines for Industry Development Implications Relative to Page 1 Annals of Studies in Science and Humanities …
Este trabajo propone el modelo VEC-EGARCH bivariado con correlaciones constantes para analizar el proceso de transmisión de la media y volatilidad entre mercados de futuros de …
M Kumar, TJ Agrawal, S Sehgal - Metamorphosis, 2017 - journals.sagepub.com
This article investigates the impact of commodity transaction tax, in effect from 1 July 2013, on the information linkages for the Indian commodity market. We use daily data on five …