Aloui, Riadh; Aïssa, Mohamed Safouane Ben; Hammoudeh, … - Institut de Préparation à l'Administration et à la … - 2014
In this article, we show how the copula-GARCH approach can be appro- priately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk management in extreme economic conditions. Using daily price...