Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method
Chaohua He, Guangchen Li, Hai Fan and Weixian Wei
| Year of publication: |
2021
|
|---|---|
| Authors: | He, Chaohua ; Li, Guangchen ; Fan, Hai ; Wei, Weixian |
| Subject: | Backtesting | GARCH-vine-copula model | Shanghai crude oil futures market | Value at Risk | Shanghai | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Risikomaß | Risk measure | Korrelation | Correlation | Warenbörse | Commodity exchange | Ölpreis | Oil price | ARCH-Modell | ARCH model | Volatilität | Volatility | Ölmarkt | Oil market | Währungsderivat | Currency derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2020.1828566 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012485170