Testing the volatility spillover between crude oil price and the U.S. stock market returns
The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016. In the empirical analyses, univariate GARCH and multivariate GARCH (BEKK-GARCH) models are employed t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2019-05-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol9/msl_2019_107.pdf |