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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Bibliographic Details
Main Authors: Boonyanuphong P., Sriboonchitta S., Chaiboonsri C.
Format: Conference or Workshop Item
Language:English
Published: 2014
Online Access: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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Institution: Chiang Mai University
Language: English
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