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The Journal of futures markets, v.36 no.6, 2016년, pp.522 - 544
Silvennoinen, Annastiina (Annastiina Silvennoinen is at the School of Economics and Finance, Queensland University of Technology, GPO Box 2434, Brisbane QLD 4001, Australia) , Thorp, Susan (Susan Thorp is at the Discipline of Finance, The University of Sydney Business School, University of Sydney, New South Wales, 2006, Australia)
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AbstractCorrelations between oil and agricultural commodities have varied over previous decades, impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth transition conditional correlation models for 12 agricultural commodities and WTI crude oil. While a structural ch...
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