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COVID-19 impact on commodity futures volatilities
COVID-19 pandemic has affected almost all aspects of the global economy, especially commodity futures markets, due to the disruption risk of global supply chains from the pandemic lockdown. This paper extends ARMA-GARCH models to investigate the pandemic impact on both long-run and short-term volati...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Authors. Published by Elsevier Inc.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8651484/ https://www.ncbi.nlm.nih.gov/pubmed/34903953 http://dx.doi.org/10.1016/j.frl.2021.102624 |