Risk spillover between energy and agricultural commodity markets : a dependence-switching CoVaR-copula model
Qiang Ji, Elie Bouri, David Roubaud, Syed Jawad Hussain Shahzad
| Year of publication: |
September 2018
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|---|---|
| Authors: | Ji, Qiang ; Bouri, Elie ; Roubaud, David ; Shahzad, Syed Jawad Hussain |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 75.2018, p. 14-27
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| Subject: | Agricultural commodity | CoVaR | Dependence-switching copula | Energy | Agrarmarkt | Agricultural market | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Energiemarkt | Energy market | Spillover-Effekt | Spillover effect | Agrarpreis | Agricultural price | Agraraußenhandel | International agricultural trade | Rohstoffderivat | Commodity derivative | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.08.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011973850