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Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas

Hussain, Saiful Izzuan; Li, Steven - In: The world economy : the leading journal on … 45 (2022) 1, pp. 317-335

Persistent link: https://www.econbiz.de/10012818942

Crude oil volatility transmission across food commodity markets : a multivariate BEKK-GARCH approach

Thenmozhi, M.; Maurya, Shipra - In: Journal of emerging market finance 20 (2021) 2, pp. 131-164

Persistent link: https://www.econbiz.de/10012592434

Volatility spillovers in commodity markets : a large t-vector autoregressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

Dynamic Relationship between Futures Trading and Spot Price Volatility : Evidence from Indian Commodity Market

Das, Rahuldeb - 2014

In this study, an attempt has been made to identify the relationship between the spot price and the level of futures trading in the Indian commodity market using Granger causality test. For a better explanation of causality, the procedure of forecast error variance decomposition has been used....

Persistent link: https://www.econbiz.de/10013053083