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Keywords: Impulse response function
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Journal Articles
Spillover between commodity and equity benchmarking indices
Available to Purchase
Benchmarking: An International Journal (2018) 25 (7): 2512–2530.
Published: 01 October 2018
... the Vector Autoregression (VAR) model and verified with Impulse Response Function by testing the null hypothesis, H0, that there is no return spillover between the equity and commodity futures market. Findings The investors move from equity to commodity when there is a threat...
