Volatility spillovers in the Thai palm oil market

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Volatility spillovers in the Thai palm oil market

This paper investigates the effect of global prices in the Thai palm oil market. We provide comprehensive evidence of growth and volatility spillovers for the key crop, crude palm oil in Thailand over the period 1996 to 2015. The Dynamic Conditional Correlation model (DCC) and Granger Causality test...

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Bibliographic Details
Main Authors:	Songsiengchai, Patchaya, Sidique, Shaufique Fahmi, Djama, Marcel, Hook, Law Siong
Format:	Article
Language:	English
Published:	American Scientific Publishers 2018
Online Access:	http://psasir.upm.edu.my/id/eprint/74414/ http://psasir.upm.edu.my/id/eprint/74414/1/Volatility%20spillovers%20in%20the%20Thai%20palm%20oil%20market.pdf

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