Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach
The main objective of this thesis is to examine the dependency structure among different agricultural and energy commodity markets in the United States. For achieving this goal, the paper makes use of the Copula-GARCH(1,1) model to study the financial return volatility and the co-movement between pa...
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| Format: | Others |
| Language: | English |
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Linnéuniversitetet, Institutionen för matematik (MA)
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-107696 |