The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model
Year of publication: |
2012
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Authors: | Chang, Kuang-liang |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 6, p. 2298-2309
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Subject: | Jump process | Copula | Nonlinear dependence | Crude oil market | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Ölpreis | Oil price | Ölmarkt | Oil market | Schätzung | Estimation | Spotmarkt | Spot market | Welt | World | Zeitreihenanalyse | Time series analysis |
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