On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model
Rihab Bedoui, Sana Braiek, Khaled Guesmi, Julien Chevallier
| Year of publication: |
2019
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|---|---|
| Authors: | Bedoui, Rihab ; Braiek, Sana ; Guesmi, Khaled ; Chevallier, Julien |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 80.2019, p. 876-889
|
| Subject: | Oil | BiVaR | Dependence structure | FX | Gold | Nested Archimedean copula | Multivariate Verteilung | Multivariate distribution | Wechselkurs | Exchange rate | Theorie | Theory | ARCH-Modell | ARCH model | Ölpreis | Oil price | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Retraction enthalten in: Volume 92, Oktober 2020, Seite 1 |
| Other identifiers: | 10.1016/j.eneco.2019.02.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012173742