Modeling Price Volatility Linkages between Corn and Wheat: A Multivariate GARCH Estimation
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s11294-014-9477-9.pdf
Reference23 articles.
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3. Bollerslev, T., & Wooldridge, J. (1992). Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews, 11(2), 143–172.
4. Brosen, B. W., Chavas, J. P., Grant, W. R., & Schnake, L. D. (1985). Marketing margins and price uncertainty: the case of U.S. Wheat market. American Journal of Agricultural Economics, 67, 521–528.
5. De Goeij, P., & Marquering, W. (2004). Modelling the conditional covariance between stock and bond returns: multivariate GARCH approach. Journal of Financial Econometrics, 2(1), 531–564.
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