Systemic risk of commodity markets : a dynamic factor copula approach
Ruolan Ouyang, Xiang Chen, Yi Fang, Yang Zhao
| Year of publication: |
2022
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|---|---|
| Authors: | Ouyang, Ruolan ; Chen, Xiang ; Fang, Yi ; Zhao, Yang |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 82.2022, p. 1-10
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| Subject: | Model | Systemic risk | Commodity market | Factor copula | Generalized autoregressive score | Macroeconomy | Multivariate Verteilung | Multivariate distribution | Rohstoffmarkt | Systemrisiko | Welt | World | Risikomanagement | Risk management | Theorie | Theory | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102204 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013431229