Information flows between the US and China's agricultural commodity futures markets : based on VAR-BEKK-skew-t model
Qian Chen and Xin Weng
| Year of publication: |
2018
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| Authors: | Chen, Qian ; Weng, Xin |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 54.2018, 1/2/3, p. 71-87
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| Subject: | agricultural commodity futures | information flows | multivariate skew-t distribution | VAR-BEKK-MGARCH model | volatility spillover | China | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | USA | United States | Informationsverbreitung | Information dissemination | ARCH-Modell | ARCH model | Agrarprodukt | Agricultural product | Spillover-Effekt | Spillover effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2016.1230492 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012122852