Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate : a wavelet-based vine-copula approach
Year of publication: |
2020
|
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Authors: | Dai, Xingyu ; Wang, Qunwei ; Zha, Donglan ; Zhou, Dequn |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 88.2020, p. 1-20
|
Subject: | Dependence structure | Oil price | Risk contagion | Vine-copula model | Wavelet decomposition | Ölpreis | Wechselkurs | Exchange rate | Ansteckungseffekt | Contagion effect | Zustandsraummodell | State space model | ARCH-Modell | ARCH model |
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