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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| Main Authors: | , , , |
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| Format: | Journal |
| Published: |
2020
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| 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 |
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| Institution: | Chiang Mai University |
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