Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
Year of publication: |
2024
|
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Authors: | Rezitis, Anthony N. ; Andrikopoulos, Panagiotis ; Daglis, Theodoros |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 3, p. 451-483
|
Subject: | agricultural futures | energy futures | hedging strategies | Markov-switching regression | volatility | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Hedging | ARCH-Modell | ARCH model | Landwirtschaft | Agriculture |
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