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
|
---|---|
Authors: | Chang, Kuang-Liang |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 29.2012, 6, p. 2298-2309
|
Publisher: |
Elsevier |
Subject: | Jump process | Copula | Nonlinear dependence | Crude oil market |
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