Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Year of publication: |
2009
|
---|---|
Authors: | Tansuchat, Roengchai ; Chang, Chia-Lin ; McAleer, Michael |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätzung | Estimation | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Modellierung | Scientific modelling | Welt | World |
Extent: | 1 Online-Ressource (34 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 20, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1491890 [DOI] |
Classification: | Q14 - Agricultural Finance ; Q11 - Aggregate Supply and Demand Analysis; Prices ; C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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