Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas
Saiful Izzuan Hussain, Steven Li
| Year of publication: |
2022
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|---|---|
| Authors: | Hussain, Saiful Izzuan ; Li, Steven |
| Published in: |
The world economy : the leading journal on international economic relations. - Oxford : Wiley-Blackwell, ISSN 1467-9701, ZDB-ID 1473825-9. - Vol. 45.2022, 1, p. 317-335
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| Subject: | Chinese commodity futures | Chinese fuel oil futures | copula | dependence structure | extreme value theory | China | Rohstoffderivat | Commodity derivative | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | Ölpreis | Oil price | ARCH-Modell | ARCH model | Warenbörse | Commodity exchange | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/twec.13123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012818942