The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model
Kuang-Liang Chang
| Year of publication: |
2012
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|---|---|
| Authors: | Chang, Kuang-liang |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 6, p. 2298-2309
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| Subject: | Jump process | Copula | Nonlinear dependence | Crude oil market | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Ölpreis | Oil price | Spotmarkt | Spot market | Erdöl | Petroleum | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Welt | World |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009673749