Thompson, M.A.

metal model volatility silver exchange rate platinum exchange palladium correlation shock dollar result effect portfolio price return varma-garch commodity table model i -06 variable garch policy funds rate variance sensitivity 2003 iraq war equation impact correlation matrix market shock effects estimate weight volatilitie parameter spillover matrix exogenous variables dollar exchange rate mcaleer volatility spillovers time t results show -05 multivariate 1.00 asset system varma-dcc dependency ratio univariate exchange rate volatility persistence policy makers /euro gold price model ii presence exogenou change portfolio designs portfolio weights model iii future model convergence research convergence geopolitic strategy supply statistic dynamic varma-garch model value covariance volatility dependency interdependency