Multivariate models of commodity futures markets : a dynamic copula approach
Sihong Chen, Qi Li, Qiaoyu Wang, Yu Yvette Zhang
| Year of publication: |
2023
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| Authors: | Chen, Sihong ; Li, Qi ; Wang, Qiaoyu ; Zhang, Yu Yvette |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 6, p. 3037-3057
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| Subject: | Commodity futures | Copula | Diversification benefit | Dynamic correlation | Financial crisis | Pandemic | Tail dependence | Rohstoffderivat | Commodity derivative | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Diversifikation | Diversification |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-023-02373-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329023