Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
Yun-Shi Dai, Peng-Fei Dai, Wei-Xing Zhou
| Year of publication: |
2023
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|---|---|
| Authors: | Dai, Yun-Shi ; Dai, Peng-Fei ; Zhou, Wei-Xing |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 88.2023, p. 1-24
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| Subject: | Agricultural futures | Agricultural spot | Copula-CoVaR | Risk spillover | Tail dependence | Landwirtschaft | Agriculture | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | Risikomanagement | Risk management | Spotmarkt | Spot market | ARCH-Modell | ARCH model | Derivat | Derivative | Risikomaß | Risk measure | Theorie | Theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2023.101820 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014482970