Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Year of publication: |
2016
|
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Authors: | Behmiri, Niaz Bashiri ; Manera, Matteo ; Nicolini, Marcella |
Publisher: |
Milano : Fondazione Eni Enrico Mattei (FEEM) |
Subject: | Multivariate GARCH | Dynamic Conditional Correlations | Future Markets | Commodities |
Series: | Nota di Lavoro ; 17.2016 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 85697157X [GVK] hdl:10419/142291 [Handle] RePEc:fem:femwpa:2016.17 [RePEc] |
Classification: | Q42 - Alternative Energy Sources ; Q11 - Aggregate Supply and Demand Analysis; Prices ; C32 - Time-Series Models |
Source: |
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Understanding dynamic conditional correlations between commodities futures markets
Behmiri, Niaz Bashiri, (2016)
-
Gardebroek, Cornelis, (2013)
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Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo, (2012)
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Understanding dynamic conditional correlations between commodities futures markets
Behmiri, Niaz Bashiri, (2016)
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Behmiri, Niaz Bashiri, (2019)
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The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices
Behmiri, Niaz Bashiri, (2015)
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