Thailand
Faculty of Economics - Chiang Mai University
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Multivariate GARCH, Asymmetries, Volatility spillovers, Crude oil futures returns, Oil company stock returns
Volatility spillovers, multivariate GARCH, conditional correlations, crude oil spot prices, spot returns, forward returns, futures returns
Multivariate GARCH, conditional correlations, crude oil prices, optimal hedge ratio, optimal portfolio weights, hedging strategies
conditional correlations, crude oil spot prices, forward prices, futures prices, risk diversification
Long memory, agricultural commodity futures, fractional integration, asymmetric, conditional volatility
Multivariate GARCH, volatility spillovers, conditional correlations, crude oil prices, spot, forward and futures prices , stock indices
tourism demand, ASEAN, multivariate GARCH, volatility spillovers, interdependence, economic development
multivariate GARCH, volatility spillovers, conditional correlations, Asian rubber prices, spot returns, futures returns
REITs, Portfolio Optimization, Multivariate t Copula, CVaR
Value at Risk, Precious metal price, GARCH-EVT-Copula, Portfolio Optimization