Aloui, Riadh; Aïssa, Mohamed Safouane Ben; Hammoudeh, … - In: Energy Economics 42 (2014) C, pp. 332-342
In this article, we show how the copula-GARCH approach can be appropriately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for portfolio risk management in extreme economic conditions. Using daily price...