Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach
Satish Kumar, Aviral Kumar Tiwari, I.D. Raheem and Qiang Ji
Year of publication: |
2020
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Authors: | Kumar, Satish ; Tiwari, Aviral Kumar ; Raheem, I. D. ; Ji, Qiang |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 28, p. 3055-3072
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Subject: | commodity markets | dependence structure | R-vine | tree structure | VaR | Multivariate Verteilung | Multivariate distribution | Rohstoffmarkt | Commodity market | Rohstoffderivat | Commodity derivative | Risikomaß | Risk measure | Landwirtschaft | Agriculture | Warenbörse | Commodity exchange |
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Online Resource