Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach
Satish Kumar, Aviral Kumar Tiwari, I.D. Raheem and Qiang Ji
| Year of publication: |
2020
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|---|---|
| Authors: | Kumar, Satish ; Tiwari, Aviral Kumar ; Raheem, I. D. ; Ji, Qiang |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 28, p. 3055-3072
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| Subject: | commodity markets | dependence structure | R-vine | tree structure | VaR | Rohstoffmarkt | Commodity market | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Rohstoffderivat | Commodity derivative | Landwirtschaft | Agriculture | Warenbörse | Commodity exchange |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1705240 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012221480