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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th-cmuir.6653943832-452442018-01-24T06:07:15Z Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach Gong Xue Songsak Sriboonchitta 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 two commodities is more adequate in contrast to the previously proposed models where the residuals were skewed and had kurtosis, here the resulting residuals are almost Gaussian. Finally, our proposed P-GARCH time-varying copula models indicate that the dependence between energy and agricultural commodities index returns is positive and increasingly stable. © Springer International Publishing Switzerland 2014. 2018-01-24T06:07:15Z 2018-01-24T06:07:15Z 2014-01-01 Book Series 21945357 2-s2.0-84897883264 10.1007/978-3-319-03395-2_33 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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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 two commodities is more adequate in contrast to the previously proposed models where the residuals were skewed and had kurtosis, here the resulting residuals are almost Gaussian. Finally, our proposed P-GARCH time-varying copula models indicate that the dependence between energy and agricultural commodities index returns is positive and increasingly stable. © Springer International Publishing Switzerland 2014. |
| format |
Book Series |
| author |
Gong Xue Songsak Sriboonchitta |
| spellingShingle |
Gong Xue Songsak Sriboonchitta Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach |
| author_facet |
Gong Xue Songsak Sriboonchitta |
| author_sort |
Gong Xue |
| title |
Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach |
| title_short |
Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach |
| title_full |
Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach |
| title_fullStr |
Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach |
| title_full_unstemmed |
Co-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approach |
| title_sort |
co-movement of prices of energy and agricultural commodities in biofuel era: a period-garch copula approach |
| publishDate |
2018 |
| url |
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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