Modeling the volatility of futures return in rubber and oil : a Copula-based GARCH model approach
Year of publication: |
2013
|
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Authors: | Li, Meng ; Yang, Liang |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 35.2013, p. 576-581
|
Subject: | Volatility | Rubber futures return | Crude oil futures return | Gas oil futures return | Copula-based GARCH model | Volatilität | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Kapitaleinkommen | Capital income | Ölpreis | Oil price |
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