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Modelling conditional correlations in the volatility of Asian rubber spot and futures returns

โœ Scribed by Chia-Lin Chang; Thanchanok Khamkaew; Michael McAleer; Roengchai Tansuchat

Book ID
108200504
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
309 KB
Volume
81
Category
Article
ISSN
0378-4754

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## Abstract Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commo