Work

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

Year: 2019

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2019.04.043

Author: Yegnanew A. Shiferaw

Institution: University of Johannesburg

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDGs: Zero hunger, Climate action, Affordable and clean energy

Open Access status: closed

Funder: University of Johannesburg

OpenAlex ID: W2937070039

FWCI: 7.714

Cites: 43

Cited by: 55

Related to: 10