Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach

Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach

© Springer International Publishing Switzerland 2015. This paper used the copula based ARMA-GARCH to examine the dependence structure between the weekly prices of two commodities, namely Crude oil and Crude palm oil. We found evidence of a weak positive dependence between two commodities prices. The...

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Bibliographic Details
Main Authors: Teera Kiatmanaroch, Ornanong Puarattanaarunkorn, Kittawit Autchariyapanitkul, Songsak Sriboonchitta
Format: Conference Proceeding
Published: 2018
Subjects:
Computer Science
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958534369&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54417
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Institution: Chiang Mai University

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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958534369&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/54417

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