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ArticleGARCH modeling of five popular commodities

Saralees Nadarajah2014

Article2014

GARCH modeling of five popular commodities

Saralees Nadarajah · Emmanuel Afuecheta · Stephen Chan

18 citations·0/0 files stored·Empirical Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992No news is good news 2008Quantile cointegrating regression 2010The crude oil market and the gold market: Evidence for cointegration, causality and price discovery 2010An overview of global gold market and gold price forecasting 2013Is gold a hedge or safe haven against oil price movements?

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Year2014

Typearticle

Published2014-07-21

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s00181-014-0845-3

openalex_workW2162042839

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