Time-varying copula models in the shipping derivatives market
Wenming Shi, Kevin X. Li, Zhongzhi Yang, Ganggang Wang
| Year of publication: |
November 2017
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| Authors: | Shi, Wenming ; Li, Kevin Xingang ; Yang, Zhongzhi ; Wang, Ganggang |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 53.2017, 3, p. 1039-1058
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| Subject: | Forward freight agreement | Value-at-risk | Time-varying copula models | Hedge ratio | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | Hedging | Risikomaß | Risk measure | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Schifffahrt | Shipping | Frachtschifffahrt | Cargo shipping |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-016-1146-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011892949