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Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Kirkpinar, Aysegul - In: Contemporary issues in business economics and finance, (pp. 45-56). 2020
Persistent link: https://www.econbiz.de/10012313140
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Study on extreme risk measurement of Chinese soybean futures market : VaR based on GARCH model
Li, Ganqiong; Xu, Shiwei; Wang, Shengwei; Yu, Haipeng - In: Proceedings of 2013 world agricultural outlook conference, (pp. 161-171). 2014
Persistent link: https://www.econbiz.de/10010416299
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Volatility transmission in agricultural futures markets
Beckmann, Joscha; Czudaj, Robert - In: Economic modelling 36 (2014), pp. 541-546
Persistent link: https://www.econbiz.de/10010416370
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Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
Lu, Xun Fa; Lai, Kin Keung; Liang, Liang - In: Methods and applications in natural resources management, (pp. 333-357). 2014
Persistent link: https://www.econbiz.de/10010391496
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Univariate und Multivariate Modellierung täglicher Volatilitäten von Rohstoff-Futures
Füss, Roland; Glück, Thorsten; Tilmes, Rolf - In: Management von Rohstoffrisiken : Strategien, Märkte …, (pp. 425-441). 2010
Persistent link: https://www.econbiz.de/10003902619
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Modeling dependency of crude oil price and agricultural commodity prices : a pairwise copulas approach
Boonyanuphong, Phattanan; Songsak Sriboonchitta; … - In: Uncertainty analysis in econometrics with applications …, (pp. 255-267). 2013
Persistent link: https://www.econbiz.de/10009711143
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The joint dynamics of oil futures prices in the NYMEX and ICE : evidence from a structural GARCH model
Spargoli, Fabrizio; Zagalia, Paolo - In: OPEC, oil prices and LNG, (pp. 169-183). 2009
Persistent link: https://www.econbiz.de/10003862326
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The quantile-heterogeneous autoregressive model of realized volatility : new evidence from commodity markets
Kick, Konstantin; Maderitsch, Robert - In: Financial mathematics, volatility and covariance modelling, (pp. 39-58). 2019
Persistent link: https://www.econbiz.de/10012249098
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Petroleum market volatility tracker in China
Bian, Huabin; Hua, Renhai; Liu, Qingfu; Zhang, Ping - In: The journal of futures markets 42 (2022) 11, pp. 2022-2040
Persistent link: https://www.econbiz.de/10013465839
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Oil price risk exposure of BRIC stock markets and hedging effectiveness
Shahzad, Syed Jawad Hussain; Bouri, Elie; Ur Rehman, Mobeen - In: Financial modeling and risk management of energy and …, (pp. 145-170). 2022
Persistent link: https://www.econbiz.de/10013349933