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correlation price commodity return distribution market exchange currency viaener european journal journal period function student-tr model margin exceedance board bivariate estimate statistic table index future policy kofman result exchange rates / journal level sample marketing country zone width marketing boards agent finance economy softness h statistics stabilization increase european tolerance limits variance value 775–805 width exchange rate viaener volatility commodity price producer assumption supply condition 0.038 dax 30 returns coefficient commodity price stabilization equilibrium effect correlation estimators philippine processor utility welfare 0.220 exceedance correlations campbell world correlation function bivariate student-tr distribution sugar limit tolerance r.a.j output 287–309 marketing board production
6 Most Recent Publications
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Increasing correlations or just fat tails?
(Article)
Campbell-Pownall, R.A.J. Forbes, C.S. Koedijk, C.G. Kofman, P. |
2008-03-01
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The demise of commodity price agreements: the role of exchange rates and special interests
(Article)
Kofman, P. Viaene, J.M.A. |
2000-01-01
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Volatility transmission and patterns in Bund futures
(Article)
Franses, Ph.H.B.F. Ieperen, R. van Menkveld, A.J. Kofman, P. Martens, M.P.E. |
1997-12-01
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GARCH effects on a test of cointegration
(Article)
Franses, Ph.H.B.F. Kofman, P. Moser, J. |
1994-03-01
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Fixing soft margins
(Article)
Kofman, P. Vaal, A. de Vries, C.G. de |
1993-01-01
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An empirical test for parities between metal prices at the LME
(Article)
Franses, Ph.H.B.F. Kofman, P. |
1991-01-01
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