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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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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spelling th-cmuir.6653943832-544172018-09-04T10:20:04Z Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach Teera Kiatmanaroch Ornanong Puarattanaarunkorn Kittawit Autchariyapanitkul Songsak Sriboonchitta Computer Science Mathematics © 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. These findings suggest that the crude oil market of the Middle East and the crude palm oil market of Malaysia are linked together. This information is useful for decision making in various area, such as the risk management in financial field and the international trade in agricultural commodities. 2018-09-04T10:13:11Z 2018-09-04T10:13:11Z 2015-01-01 Conference Proceeding 03029743 2-s2.0-84958534369 10.1007/978-3-319-25135-6_39 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958534369&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54417
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle Computer Science
Mathematics
Teera Kiatmanaroch
Ornanong Puarattanaarunkorn
Kittawit Autchariyapanitkul
Songsak Sriboonchitta
Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
description © 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. These findings suggest that the crude oil market of the Middle East and the crude palm oil market of Malaysia are linked together. This information is useful for decision making in various area, such as the risk management in financial field and the international trade in agricultural commodities.
format Conference Proceeding
author Teera Kiatmanaroch
Ornanong Puarattanaarunkorn
Kittawit Autchariyapanitkul
Songsak Sriboonchitta
author_facet Teera Kiatmanaroch
Ornanong Puarattanaarunkorn
Kittawit Autchariyapanitkul
Songsak Sriboonchitta
author_sort Teera Kiatmanaroch
title Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
title_short Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
title_full Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
title_fullStr Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
title_full_unstemmed Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
title_sort volatility linkages between price returns of crude oil and crude palm oil in the asean region: a copula based garch approach
publishDate 2018
url 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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