Farrukh Javed

Lund University

743

Lund, Skåne 220 07

Sweden

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

Garch-Type Models and Performance of Information Criteria

Number of pages: 18 Posted: 31 May 2011
Farrukh Javed
Lund University
Downloads 419 (98,766)
Citation 2

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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 93 (379,646)
Citation 1

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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

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