Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach

Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach

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 agriculture grain comm...

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Bibliographic Details
Main Authors: Xinyu Yuan, Jiechen Tang, Wing-Keung Wong, Songsak Sriboonchitta
Format: Article
Language:English
Published: MDPI AG 2020-01-01
Series:Sustainability
Subjects:
garch model
copula
tail dependence
co-movement
agricultural commodity markets
Online Access:https://www.mdpi.com/2071-1050/12/1/393

Internet

https://www.mdpi.com/2071-1050/12/1/393

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