Volatility spillovers in the Thai palm oil market

Volatility spillovers in the Thai palm oil market

This paper investigates the effect of global prices in the Thai palm oil market. We provide comprehensive evidence of growth and volatility spillovers for the key crop, crude palm oil in Thailand over the period 1996 to 2015. The Dynamic Conditional Correlation model (DCC) and Granger Causality test...

书目详细资料
Main Authors:	Songsiengchai, Patchaya, Sidique, Shaufique Fahmi, Djama, Marcel, Hook, Law Siong
格式:	文件
语言:	English
出版:	American Scientific Publishers 2018
在线阅读:	http://psasir.upm.edu.my/id/eprint/74414/1/Volatility%20spillovers%20in%20the%20Thai%20palm%20oil%20market.pdf

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