Li, Meng; Yang, Liang - In: Economic Modelling 35 (2013) C, pp. 576-581
This paper attempts to make use of a Copula-based GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) Model to find out the relationships between the volatility of rubber futures returns in the Agricultural Futures Exchange of Thailand (AFET) and other four main markets, namely,...