Commodity market financialization, herding and signals : an asymmetric GARCH R-vine copula approach
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 | Rohstoffmarkt | Commodity market | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Asymmetrische Information | Asymmetric information | Finanzmarkt | Financial market | Signalling |
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