Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets
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Keywords
Convenience yield; Asymmetric volatility; EGARCH; The theory of storage; Indian Commodity Futures Markets;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2016-03-10 (Agricultural Economics)
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