Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund...
Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model
About this item
Full title
Author / Creator
Publisher
Basel: MDPI AG
Journal title
Language
English
Formats
Publication information
Publisher
Basel: MDPI AG
Subjects
More information
Scope and Contents
Contents
Oil continues to be a major source of world energy, but oil prices and funds have experienced high volatility over the last decade. This study applies the generalized autoregressive conditional heteroskedasticity-mixed-data sampling (GARCH-MIDAS) model on data spanning 1 July 2014 to 30 April 2020 to examine volatility transmission from the equity,...
Alternative Titles
Full title
Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2441914147
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2441914147
Other Identifiers
ISSN
2227-7390
E-ISSN
2227-7390
DOI
10.3390/math8091534
