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The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

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Author

  • Lin Gao
  • Lu Liu

Summary, in English

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.

Publishing year

2014

Language

English

Pages

93-101

Publication/Series

Journal of Futures Markets

Volume

34

Issue

1

Document type

Journal article

Publisher

John Wiley & Sons Inc.

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 1096-9934