Vines climbing higher : risk management for commodity futures markets using a regular vine copula approach
Hemei Li, Zhenya Liu, Shixuan Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Hemei ; Liu, Zhenya ; Wang, Shixuan |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 2, p. 2438-2457
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| Subject: | commodity futures | dependence structure | R-vine copula | tail dependence | value-at-risk | Rohstoffderivat | Commodity derivative | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Risikomaß | Risk measure | Warenbörse | Commodity exchange | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2280 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013184895