Farrukh Javed

Lund University

743

Lund, Skåne 220 07

Sweden

SCHOLARLY PAPERS

3

DOWNLOADS

360

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Garch-Type Models and Performance of Information Criteria

Number of pages: 18 Posted: 31 May 2011
Farrukh Javed
Lund University
Downloads 272 (117,925)
Citation 2

Abstract:

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GARCH, Leverage, Spillover, Volatility

2.

Sensitivity of the Causality in Variance Test to the Garch (1,1) Parameters

Number of pages: 19 Posted: 31 May 2011
Farrukh Javed
Lund University
Downloads 88 (302,127)
Citation 1

Abstract:

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Causality, GARCH, Spillover, Volatility

3.

Do Commodity Index Traders Destabilize Agricultural Futures Prices?

Posted: 20 Jun 2012 Last Revised: 30 Jun 2013
Martin T. Bohl, Farrukh Javed and Patrick M. Stephan
University of Muenster, Lund University and University of Münster

Abstract:

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Commodity Index Traders, Futures Prices, Agricultural Markets, Stochastic Volatility Model, Kalman Filter