Commodity market financialization, herding and signals : an asymmetric GARCH R-vine copula approach
Qin Xiao, Meilan Yan, Dalu Zhang
| Year of publication: |
2023
|
|---|---|
| Authors: | Qin, Xiao ; Yan, Meilan ; Zhang, Dalu |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 89.2023, p. 1-21
|
| Subject: | Asymmetric tail dependence | Commodity market financialization | Herding | Information friction | Risk-sharing | Herdenverhalten | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Rohstoffmarkt | Commodity market | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Signalling | Asymmetrische Information | Asymmetric information | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102743 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014466342