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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| Main Authors: | , , |
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| 格式: | Book Series |
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2018
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| 在線閱讀: | 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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