Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

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Note (General)：: application/pdfForthcoming in Journal of Energy Markets.本文フィルはリンク先を参照のこと

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Material Type: 文書・図像類
Title: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
Author/Editor: Tansuchat, Roengchai
Chang, Chia-Lin
McAleer, Michael
Author Heading: Tansuchat, Roengchai
Chang, Chia-Lin
McAleer, Michael
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2010-01
Publication Date (W3CDTF): 2010-01
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-706
Volume: CIRJE-F-706
Text Language Code: eng
Subject Heading: Multivariate GARCH
volatility spillovers
conditional correlations
crude oil prices
spot
forward and futures prices
stock indices
JEL Classifications: C22, C32, G17, G32.
NDC: 335
Target Audience: 一般
Note (General): application/pdf
Forthcoming in Journal of Energy Markets.
本文フィルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf706ab.html
Periodical Title (NCID): AA11450569
https://ci.nii.ac.jp/ncid/AA11450569
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ