Information flows between the US and China's agricultural commodity futures markets : based on VAR-BEKK-skew-t model
Year of publication: |
2018
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Authors: | Chen, Qian ; Weng, Xin |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 54.2018, 1/2/3, p. 71-87
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Subject: | agricultural commodity futures | information flows | multivariate skew-t distribution | VAR-BEKK-MGARCH model | volatility spillover | Rohstoffderivat | Commodity derivative | China | Volatilität | Volatility | USA | United States | Spillover-Effekt | Spillover effect | Informationsverbreitung | Information dissemination | Agrarprodukt | Agricultural product | ARCH-Modell | ARCH model |
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