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~institution:"Agricultural and Applied Economics Association - AAEA"
~institution:"Tinbergen Institute"
~institution:"Tinbergen Instituut"
~subject:"spatially separated markets"
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spatially separated markets
multivariate GARCH
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Dynamic correlation
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Maximum Likelihood
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Multivariate GARCH
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Non-Linear Least-Squares
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dynamic conditional correlation
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hedge ratio
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Bekkerman, Anton
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Pelletier, Denis
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Agricultural and Applied Economics Association - AAEA
Tinbergen Institute
Tinbergen Instituut
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2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin
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Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand
Bekkerman, Anton
;
Pelletier, Denis
-
Agricultural and Applied Economics Association - AAEA
-
2009
multivariate
GARCH
model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether …
Persistent link: https://www.econbiz.de/10005000502
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