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The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

Gao, Lin and Liu, Lu LU (2014) In Journal of Futures Markets 34(1). p.93-101
Abstract
The authors thank Bob Webb (the editor) and an anonymous referee for their helpful comments and suggestions. We are also grateful to Hossein Asgharian, Charlotte Christiansen, Bent Jesper Christensen, Karl Frauendorfer, Pascal Gantenbein, Björn Hansson, Heino Bohn Nielson, Anders Rahbek, Paul Söderlind, Klaus Spremann, and seminar participants at Lund University and the University of St. Gallen, as well as conference participants at the Arne Ryde Workshop in Financial Economics, the 2nd Humboldt–Copenhagen Conference in Financial Econometrics. We thank Hossein Asgharian for his coding of the algorithm of simulated annealing. Financial support from the Bankforskningsinstitutet is appreciated.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Futures Markets
volume
34
issue
1
pages
93 - 101
publisher
John Wiley & Sons
external identifiers
  • wos:000327832400006
  • scopus:84889675626
ISSN
1096-9934
DOI
10.1002/fut.21587
language
English
LU publication?
yes
id
5d550f9f-ef51-4dd0-a8ec-266bfd96fb6c (old id 3633272)
date added to LUP
2013-04-15 11:45:11
date last changed
2017-09-17 03:35:27
@article{5d550f9f-ef51-4dd0-a8ec-266bfd96fb6c,
  abstract     = {The authors thank Bob Webb (the editor) and an anonymous referee for their helpful comments and suggestions. We are also grateful to Hossein Asgharian, Charlotte Christiansen, Bent Jesper Christensen, Karl Frauendorfer, Pascal Gantenbein, Björn Hansson, Heino Bohn Nielson, Anders Rahbek, Paul Söderlind, Klaus Spremann, and seminar participants at Lund University and the University of St. Gallen, as well as conference participants at the Arne Ryde Workshop in Financial Economics, the 2nd Humboldt–Copenhagen Conference in Financial Econometrics. We thank Hossein Asgharian for his coding of the algorithm of simulated annealing. Financial support from the Bankforskningsinstitutet is appreciated.},
  author       = {Gao, Lin and Liu, Lu},
  issn         = {1096-9934},
  language     = {eng},
  number       = {1},
  pages        = {93--101},
  publisher    = {John Wiley & Sons},
  series       = {Journal of Futures Markets},
  title        = {The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks},
  url          = {http://dx.doi.org/10.1002/fut.21587},
  volume       = {34},
  year         = {2014},
}