Browsing by Author "Ramchander, Sanjay"
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Volatility transmission across currencies and commodities with US uncertainty measures
Khalifa, Ahmed A. A.; Otranto, Edoardo; Hammoudeh, Shawkat; Ramchander, Sanjay ( Elsevier Inc. , 2016 , Article)This paper uses the Multi-chain Markov Switching model (MCMS) conditioned on US uncertainty measures (VIX, VIX-oil and FSI) to examine the patterns of volatility transmission across the resource, major and safe haven ...