Interest rates and the volatility and correlation of commodity prices
Year of publication: |
April 2018
|
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Authors: | Gruber, Joseph W. ; Vigfusson, Robert J. |
Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1365-1005, ZDB-ID 1412233-9. - Vol. 22.2018, 3, p. 600-619
|
Subject: | Commodity Storage | Panel GARCH | Dynamic Factor Model | Volatilität | Volatility | Rohstoffpreis | Commodity price | ARCH-Modell | ARCH model | Schätzung | Estimation | Zins | Interest rate | Korrelation | Correlation | Rohstoffderivat | Commodity derivative | Panel | Panel study | Rohstoffmarkt | Commodity market | Warenbörse | Commodity exchange |
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