Essays about: "cross-market linkages"

Found 2 essays containing the words cross-market linkages.

1. 1. Cross-market linkages and the role of speculation in agricultural futures markets

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Pierre Andreasson; Jonathan Siverskog; [2015]
   Keywords : Spillover index; dynamic conditional correlation; commodity futures; speculation; cross-market linkages;

   Abstract : In this study we analyse the role of speculation in forging cross-market linkages between agriculture, equity and crude oil over the period 1992-2014. The market interdependence of ten U.S. READ MORE

3. 2. Examining the market linkage between the US stock market and the oil market: A multivariate GARCH approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Joakim Puusaari; [2009]
   Keywords : Stock market; volatility spillover; BEKK; Market linkages; Commodities market; Oil; Multivariate GARCH model; Asymmetric volatility; News Impact Surfaces; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : In this study the relationship between the US stock market and the oil market is examined in terms of volatility and co-volatility. A multivariateGARCH approach is therefore applied by using an asymmetric BEKK model on daily returns which cover the period from 1 January 2002 to 31 December 2008. READ MORE