Understanding dynamic conditional correlations between oil, natural gas and non-energy commodity futures markets
Niaz Bashiri Behmiri, Matteo Manera, and Marcella Nicolini
| Year of publication: |
2019
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|---|---|
| Authors: | Behmiri, Niaz Bashiri ; Manera, Matteo ; Nicolini, Marcella |
| Published in: |
The energy journal. - Boston, Mass. [u.a.] : Oelgeschlager, Gunn & Hain, ISSN 0195-6574, ZDB-ID 864319-2. - Vol. 40.2019, 2, p. 55-76
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| Subject: | Multivariate GARCH | Dynamic conditional correlations | Pooled mean group | Commodity futures markets | Oil | Natural gas | Agriculture | Metals | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Korrelation | Correlation | Volatilität | Volatility | Erdgas | Ölmarkt | Oil market | Erdgasmarkt | Natural gas market | Warenbörse | Commodity exchange | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5547/01956574.40.2.nbeh [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012037403