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Risk spillover between energy and agricultural commodity markets : a dependence-switching CoVaR-copula model
Ji, Qiang; Bouri, Elie; Roubaud, David; Shahzad, Syed … - In: Energy economics 75 (2018), pp. 14-27
Persistent link: https://www.econbiz.de/10011973850
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Crude oil risk forecasting : new evidence from multiscale analysis approach
He, Kaijian; Tso, Kwok Fai Geoffrey; Zou, Yingchao; Liu, Jia - In: Energy economics 76 (2018), pp. 574-583
Persistent link: https://www.econbiz.de/10011976731
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Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach
He, Kaijian; Lai, Kin Keung; Yen, Jerome - In: Energy economics 33 (2011) 5, pp. 903-911
Persistent link: https://www.econbiz.de/10009382998
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Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas
Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Energy economics 67 (2017), pp. 476-495
Persistent link: https://www.econbiz.de/10011897955