A time-varying copula approach for modelling dependency : new evidence from commodity and stock markets
Lanouar Charfeddine, Noureddine Benlagha
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Charfeddine, Lanouar ; Benlagha, Noureddine |
| Published in: |
Journal of multinational financial management. - Amsterdam [u.a.] : North-Holland, ISSN 1042-444X, ZDB-ID 1117284-8. - Vol. 37/38.2016, p. 168-189
|
| Subject: | Time varying dependence | Copula | Breaks | Commodity | Stock market | Multivariate Verteilung | Multivariate distribution | Aktienmarkt | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Volatilität | Volatility | Rohstoffmarkt | Commodity market | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.mulfin.2016.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011720305