Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets

By Han-Yu Zhu, Peng-Fei Dai, Wei-Xing Zhou

Published 2024-03-04

Everscope rating

1314.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: TVP-VAR-DY model with quantile method. Problem types: Time Series Forecasting, Risk Management.

arXiv:2403.01745 · Paper rankings

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