Extreme price moves : an INGARCH approach to model coexceedances in commodity markets
Year of publication: |
2021
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Authors: | Algieri, Bernardina ; Leccadito, Arturo |
Published in: |
European review of agricultural economics. - Oxford : Oxford University Press, ISSN 1464-3618, ZDB-ID 1480706-3. - Vol. 48.2021, 4, p. 878-914
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Subject: | coexceedance | commodities | extreme returns | INGARCH models | Rohstoffmarkt | Commodity market | Theorie | Theory | Rohstoffderivat | Commodity derivative | Kapitaleinkommen | Capital income | Volatilität | Volatility | Rohstoffpreis | Commodity price |
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