Partially overlapping time series: a new model for volatility dynamics in commodity futures
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference26 articles.
1. Some determinants of the volatility of futures prices
2. The Time Pattern of Hedging and the Volatility of Futures Prices
3. Bivariate garch estimation of the optimal commodity futures Hedge
4. An empirical analysis of risk premia in futures markets
5. Generalized autoregressive conditional heteroskedasticity
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