Liu, Qingfu; An, Yunbi - In: Pacific-Basin Finance Journal 30 (2014) C, pp. 17-29
This paper examines the overall risks in Chinese copper, rubber, and soybean futures markets using a copula-VaR (value at risk) and copula-ES (expected shortfall) framework that explicitly accounts for both trading and non-trading information. Our results show that information accumulating...