The volatility linkage between energy and agricultural futures markets with external shocks
Liyan Han, Jiayu Jin, Lei Wu, Hongchao Zeng
| Year of publication: |
2020
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|---|---|
| Authors: | Han, Liyan ; Jin, Jiayu ; Wu, Lei ; Zeng, Hongchao |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 68.2020, p. 1-15
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| Subject: | Energy futures | Agricultural futures | Volatility linkages | Shale gas revolution | External shocks | Volatilität | Volatility | Schock | Shock | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Landwirtschaft | Agriculture | Energiemarkt | Energy market | VAR-Modell | VAR model |