Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
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
|
Subject: | Agricultural futures | Agricultural spot | Copula-CoVaR | Risk spillover | Tail dependence | Landwirtschaft | Agriculture | Spillover-Effekt | Spillover effect | Theorie | Theory | Spotmarkt | Spot market | Rohstoffderivat | Commodity derivative | Risikomanagement | Risk management | Volatilität | Volatility | ARCH-Modell | ARCH model |
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