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

• Main Authors: Teera Kiatmanaroch, Ornanong Puarattanaarunkorn, Kittawit Autchariyapanitkul, Songsak Sriboonchitta
• 格式: Conference Proceeding
• 出版: 2018
• 主題: Computer Science; Mathematics
• 在線閱讀: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958534369&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54417
• 機構: Chiang Mai University

© 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...