Modeling co-movement among different agricultural commodity markets: A copula-GARCH approach

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...

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書目詳細資料
Main Authors:	Xinyu Yuan, Jiechen Tang, Wing Keung Wong, Songsak Sriboonchitta
格式:	雜誌
出版:	2020
主題:	Energy Environmental Science
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85083898402&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/70542
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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