Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate : a wavelet-based vine-copula approach
Xingyu Dai, Qunwei Wang, Donglan Zha, Dequn Zhou
| Year of publication: |
2020
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|---|---|
| Authors: | Dai, Xingyu ; Wang, Qunwei ; Zha, Donglan ; Zhou, Dequn |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 88.2020, p. 1-20
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| Subject: | Dependence structure | Oil price | Risk contagion | Vine-copula model | Wavelet decomposition | Ölpreis | Wechselkurs | Exchange rate | Ansteckungseffekt | Contagion effect | Gold | Zustandsraummodell | State space model | Schätzung | Estimation | Ölmarkt | Oil market | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104774 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012516743