Modeling co-movement among different agricultural commodity markets: A copula-GARCH approach
© 2020 by the authors. The aim of this research is to explore the volatility contagion among different agricultural commodity markets. For this purpose, this research make use of the copula-GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model for the daily spot prices of six major...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Journal |
| Published: |
2020
|
| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85083898402&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/70542 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |