Browsing APEC Staff Papers by Subject "Multivariate GARCH JEL classification: D82, G19"

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  • Yang, Jian; Awokuse, Titus (Department of Food and Resource Economics, 2002-06)
    This paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model – bivariate GARCH frameworks, some evidence is found ...

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