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Dynamic dependence of futures basis between the Chinese and international grains markets

Hao Wang, Yizhe Dong, Mingli Sun, Baofeng Shi, Hao Ji
Year of publication:
2024
Authors: Wang, Hao ; Dong, Yizhe ; Sun, Mingli ; Shi, Baofeng ; Ji, Hao
Subject: DCC-GARCH model | Dynamic linkage | Futures basis | Grain market | Multidimensional dependence | Wavelet-vine copula | Getreidemarkt | China | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Rohstoffderivat | Commodity derivative | Derivat | Derivative | Welt | World
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