Modelling the conditional volatility of commodity index futures as a regime switching process
Wai Mun Fong and Kim Hock See
| Year of publication: |
2001
|
|---|---|
| Authors: | Fong, Wai-mun ; See, Kim Hock |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 16.2001, 2, p. 133-163
|
| Subject: | Rohstoffderivat | Commodity derivative | Index-Futures | Index futures | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory | Ökonometrisches Modell | Econometric model |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of applied econometrics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001573886