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.
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
Article first published online: 7 NOV 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 1, pages 93–101, January 2014
How to Cite
Gao, L. and Liu, L. (2014), The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks. J. Fut. Mark., 34: 93–101. doi: 10.1002/fut.21587
- Issue published online: 6 DEC 2013
- Article first published online: 7 NOV 2012
- Manuscript Accepted: 18 JUL 2012
- Manuscript Received: 20 JUN 2011
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