The dependence structure across oil, wheat, and corn : a wavelet-based copula approach using implied volatility indexes
Walid Mensi, Aviral Tiwari, Elie Bouri, David Roubaud, Khamis H. Al-Yahyaee
| Year of publication: |
August 2017
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|---|---|
| Authors: | Mensi, Walid ; Tiwari, Aviral Kumar ; Bouri, Elie ; Roubaud, David ; Al-Yahyaee, Khamis Hamed |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 66.2017, p. 122-139
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| Subject: | Commodity implied volatility | Dependence | Scale | Copula | Wavelet | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Optionsgeschäft | Option trading | Zustandsraummodell | State space model | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.06.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011896437