Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - Institut de Préparation à l'Administration et à la … - 2014
In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula functions that allow for measuring both average and tail...