Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes
Anthony N. Rezitis, Panagiotis Andrikopoulos, Theodoros Daglis
| Year of publication: |
2024
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| Authors: | Rezitis, Anthony N. ; Andrikopoulos, Panagiotis ; Daglis, Theodoros |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 3, p. 451-483
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| Subject: | agricultural futures | energy futures | hedging strategies | Markov-switching regression | volatility | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Hedging | ARCH-Modell | ARCH model | Energiemarkt | Energy market | Landwirtschaft | Agriculture | Agrarprodukt | Agricultural product | Futures | Markov-Kette | Markov chain | Agrarpreis | Agricultural price |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22477 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014475504