Tansuchat, R.

model return future volatility market price garch crude correlation shock variance table estimate varma-garch effect mcaleer commodity multivariate varma-agarch parameter commodity futures returns brent panel bollerslev crude oil returns stock futures returns economic spillover volatility spillovers series journal portfolio tourism entry futures prices ratio rubber result ccc model paper univariate volatility models energy equation crude oil markets wtisp country crude oil sicom wtifu crude oil spot figarch parameter estimates tocom soybean thailand rbresp arrival level futures markets memory portfolio weights rbrefor statistic singapore matrix stock markets rwtisp process persistence multivariate garch models stock index returns tourist arrivals figure wtifor egarch rbrefu order covariance