Browsing Biological & Environmental Sciences by Subject "US uncertainty measures"
Now showing items 1-1 of 1
-
Volatility transmission across currencies and commodities with US uncertainty measures
( 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 ...