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~institution:"Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong"
~institution:"Institut de Préparation à l'Administration et à la Gestion (IPAG)"
~subject:"optimal hedging"
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optimal hedging
Multivariate GARCH
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Oil prices
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Volatility Spillovers
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Volatility spillovers
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Cereal
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Diversification
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Energy
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Frontier Markets
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Multiple Latent Factors
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OPEC meetings
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Price volatility
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agricultural commodities
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directional volatility spillovers
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energy market
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hedge effectiveness
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portfolios diversification
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Lahiani, Amine
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Nguyen, Duc Khuong
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Vo, Thierry
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Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
Institut de Préparation à l'Administration et à la Gestion (IPAG)
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Understanding return and
volatility
spillovers
among major agricultural commodities
Lahiani, Amine
;
Nguyen, Duc Khuong
;
Vo, Thierry
-
Institut de Préparation à l'Administration et à la …
-
2014
We provide comprehensive evidence of return and
volatility
spillovers
for the four major agricultural commodi- ties …
Persistent link: https://www.econbiz.de/10010764019
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