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: Phattanan Boonyanuphong, Songsak Sriboonchitta, Chukiat Chaiboonsri
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872763748&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/48218
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Institution: Chiang Mai University

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