Volatility of commodity futures prices and market-implied inflation expectations
Year of publication: |
November 2017
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Authors: | Orłowski, Lucjan T. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 51.2017, p. 133-141
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Subject: | Commodity futures prices | Breakeven inflation | Bayesian VAR | Bai-Perron multiple breakpoint regression | GARCH | Rohstoffderivat | Commodity derivative | Inflationserwartung | Inflation expectations | Volatilität | Volatility | Inflation | Schätzung | Estimation | ARCH-Modell | ARCH model | Warenbörse | Commodity exchange | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model |
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