Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
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...
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| Main Authors: | , , |
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| 格式: | Conference or Workshop Item |
| 語言: | English |
| 出版: |
2014
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| 在線閱讀: | http://www.scopus.com/inward/record.url?eid=2-s2.0-84872763748&partnerID=40&md5=e1ad622ee278954dcbe54720e665aa9a http://cmuir.cmu.ac.th/handle/6653943832/1223 |
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