Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach

• المؤلفون الرئيسيون: Boonyanuphong P., Sriboonchitta S., Chaiboonsri C.
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: 2014
• الوصول للمادة أونلاين: http://www.scopus.com/inward/record.url?eid=2-s2.0-84872763748&partnerID=40&md5=e1ad622ee278954dcbe54720e665aa9a; http://cmuir.cmu.ac.th/handle/6653943832/1223
• المؤسسة: Chiang Mai University

This study examines the dependency between the return of crude oil future prices and the agricultural commodity future prices as well as provides flexible models for dependency and the conditional volatility GARCH. Therefore, this paper used copula-based GARCH models, which consists in estimating th...