Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach

Time-varying correlation between agricultural commodity and energy price dynamics with Bayesian multivariate DCC-GARCH models

(2019) Yegnanew A. Shiferaw   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Asymmetric risk spillovers between oil and agricultural commodities

(2018) Syed Jawad Hussain Shahzad et al.   ENERGY POLICY

Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models

(2016) Yingying Han et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets

(2016) Heni Boubaker et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

(2016) Syed Jawad Hussain Shahzad et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Energy prices and agricultural commodity prices: Testing correlation using copulas method

(2015) Krishna H. Koirala et al.   ENERGY

Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach

(2015) Chaker Aloui et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

The influence of biofuels, economic and financial factors on daily returns of commodity futures prices

(2014) Bernardina Algieri   ENERGY POLICY

Volatility spillovers in China’s crude oil, corn and fuel ethanol markets

(2013) Wu Haixia et al.   ENERGY POLICY

Modeling volatility and dependency of agricultural price and production indices of Thailand: Static versus time-varying copulas

(2013) Songsak Sriboonchitta et al.   INTERNATIONAL JOURNAL OF APPROXIMATE REASONING

Do food and oil prices co-move?

(2012) Juan C. Reboredo   ENERGY POLICY