Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method
Year of publication: |
2021
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Authors: | He, Chaohua ; Li, Guangchen ; Fan, Hai ; Wei, Weixian |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 11, p. 1249-1263
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Subject: | Backtesting | GARCH-vine-copula model | Shanghai crude oil futures market | Value at Risk | Shanghai | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | ARCH-Modell | ARCH model | Erdöl | Petroleum | Risikomaß | Risk measure | Warenbörse | Commodity exchange | Volatilität | Volatility | Korrelation | Correlation | Schätzung | Estimation |
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