Asymmetric GARCH models on price volatility of agricultural commodities
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DOI: 10.1007/s43546-022-00355-7
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Cited by:
- Mutaju Isaack Marobhe & Jonathan Mukiza Peter Kansheba, 2023. "High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods," SN Business & Economics, Springer, vol. 3(4), pages 1-27, April.
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More about this item
Keywords
Volatility; Agricultural commodities; EGARCH; TGARCH; Leverage effect;All these keywords.
JEL classification:
- B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
- B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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