Extreme downside risk co-movement in commodity markets during distress periods : a multidimensional scaling approach
Year of publication: |
2020
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Authors: | Fernández-Avilés, Gema ; Montero, José-María ; Sanchis-Marco, Lidia |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 12, p. 1207-1237
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Subject: | Co-movement | Commodity markets | Expected shortfall | Extreme downside risk co-movement map | Multidimensional scaling |
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