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Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach

This paper analyses futures prices of four energy commodities (crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using DCC multivariate GARCH models, it provides new evidence on four... Full description

1st Person: Manera, Matteo
Additional Persons: Nicolini, Marcella verfasserin; Vignati, Ilaria verfasserin
Source: in The energy journal Vol. 34, No. 3 (2013), p. 55-81
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Type of Publication: Article
Language: English
Published: 2013
Keywords: research-article
Online: Volltext
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