Essays about: "Copula-GARCH 1"

Found 1 essay containing the words Copula-GARCH 1.

  1. 1. Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Than Trang; [2021]
    Keywords : Copula-GARCH 1; 1 ;

    Abstract : 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 pair of commodities including corn, soybean and gasoline over the pre-COVID 19 pandemic period (from 01-01-2018 to 01-01-2020) and the ongoing COVID 19 pandemic period (from 01-01-2020 to 01-04-2021). READ MORE