Showing 1 - 2 of 2
We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13 major commodity markets (which include...
Persistent link: https://www.econbiz.de/10012389148
Persistent link: https://www.econbiz.de/10014504010