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Modelling the general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - In: Energy economics 43 (2014), pp. 284-296

Persistent link: https://www.econbiz.de/10010504813

Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - 2012

This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...

Persistent link: https://www.econbiz.de/10009631566

Comparison of Value at Risk (VaR) multivariate forecast models

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110

Persistent link: https://www.econbiz.de/10014471980

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures

Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109

Persistent link: https://www.econbiz.de/10012169513

Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887

Persistent link: https://www.econbiz.de/10013187611

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Measuring and testing tail dependence and contagion risk between Major stock markets

Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10011762384

Intraday VaR : a copula-based approach

Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477064

Investigating volatility transmission across international equity markets using multivariate fractional models

Saâdaoui, Foued; Ghadhab, Imen - In: International transactions in operational research : a … 30 (2023) 5, pp. 2139-2157

Persistent link: https://www.econbiz.de/10014259113