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dc.contributor.authorGong Xueen_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.description.abstractThis study examines volatility and co-movement structures of coal and agricultural commodities index returns in China's bioful era. After taking into account the periodicity of changes in coal and agriculture prices, we show that the Period-GARCH (P-GARCH), which captures the characteristics of two commodities is more adequate in contrast to the previously proposed models where the residuals were skewed and had kurtosis, here the resulting residuals are almost Gaussian. Finally, our proposed P-GARCH time-varying copula models indicate that the dependence between energy and agricultural commodities index returns is positive and increasingly stable. © Springer International Publishing Switzerland 2014.en_US
dc.subjectComputer Scienceen_US
dc.titleCo-movement of prices of energy and agricultural commodities in biofuel era: A period-GARCH copula approachen_US
dc.typeBook Seriesen_US
article.title.sourcetitleAdvances in Intelligent Systems and Computingen_US
article.volume251en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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