Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel

• Main Authors: Liu,J., Sriboonchitta,S., David,R.H., David,Z., Wiboonpongse,A.
• Format: Article
• Published: Springer Verlag 2015
• Subjects: Artificial Intelligence
• Online Access: http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84919332070&origin=inward; http://cmuir.cmu.ac.th/handle/6653943832/39138
• Institution: Chiang Mai University

© Springer International Publishing Switzerland 2015. This study proposes a dynamic vine copula based ARMAX-GARCH model to explore the dependence structures between energy futures and agricultural futures, and between corn future and soybean future conditional on energy futures etc. The more importa...