Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications

Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications

AbstractLiterature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons. However, it is observed that the explored market integration is limited for the price and return volatilities. Bivariate GARCH models (...

Full description

Bibliographic Details
Main Authors: Shailesh Rastogi, Jagjeevan Kanoujiya, Adesh Doifode
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Business & Management
Subjects:
bivariate GARCH
volatility
gold
crude oil
interest rates
exchange rate
Online Access:https://www.tandfonline.com/doi/10.1080/23311975.2023.2289700

Internet

https://www.tandfonline.com/doi/10.1080/23311975.2023.2289700

Similar Items