An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting
Xuyuan Han, Zhenya Liu, Shixuan Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Han, Xuyuan ; Liu, Zhenya ; Wang, Shixuan |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 25.2022, p. 1-24
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| Subject: | R-vine copula | Dependence structure | Financial crisis | Value-at-Risk | Structural breaks | Tail dependence | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Strukturbruch | Structural break | Finanzkrise | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Der Haupttitel sollte heißen: A R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting |
| Other identifiers: | 10.1016/j.jcomm.2021.100188 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013204443