The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
Författare
Summary, in English
The authors thank Bob Webb (the editor) and an anonymous referee for their helpful comments and suggestions. We are also grateful to Hossein Asgharian, Charlotte Christiansen, Bent Jesper Christensen, Karl Frauendorfer, Pascal Gantenbein, Björn Hansson, Heino Bohn Nielson, Anders Rahbek, Paul Söderlind, Klaus Spremann, and seminar participants at Lund University and the University of St. Gallen, as well as conference participants at the Arne Ryde Workshop in Financial Economics, the 2nd Humboldt–Copenhagen Conference in Financial Econometrics. We thank Hossein Asgharian for his coding of the algorithm of simulated annealing. Financial support from the Bankforskningsinstitutet is appreciated.
Avdelning/ar
Publiceringsår
2014
Språk
Engelska
Sidor
93-101
Publikation/Tidskrift/Serie
Journal of Futures Markets
Volym
34
Issue
1
Dokumenttyp
Artikel i tidskrift
Förlag
John Wiley & Sons Inc.
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1096-9934