Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach
This study examines volatility and co-movement structures of coal and agricultural commodities index returns in China's bioful era. After taking into account the periodicity of changes in coal and agriculture prices, we show that the Period-GARCH (P-GARCH), which captures the characteristics of...
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| Main Authors: | , |
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| Format: | Book Series |
| Published: |
2018
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897883264&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45244 |
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| Institution: | Chiang Mai University |