Asymmetric Spillover Effect and Dynamic Correlation Between Crude Oil, RMB Exchange Rate and Chinese Gold Price: Based on VAR-Asymmetric BEKK (DCC)-GARCH (1, 1) Model

CHEN Yufeng, ZHU Zhitao, QU Fang

Journal of System Science and Mathematical Science Chinese Series ›› 2021, Vol. 41 ›› Issue (2) : 449-465.

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中国科学院数学与系统科学研究院期刊网
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Journal of System Science and Mathematical Science Chinese Series ›› 2021, Vol. 41 ›› Issue (2) : 449-465. DOI: 10.12341/jssms14143

Asymmetric Spillover Effect and Dynamic Correlation Between Crude Oil, RMB Exchange Rate and Chinese Gold Price: Based on VAR-Asymmetric BEKK (DCC)-GARCH (1, 1) Model

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(2): 449-465 https://doi.org/10.12341/jssms14143

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