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Vines climbing higher : risk management for commodity futures markets using a regular vine copula approach

Li, Hemei; Liu, Zhenya; Wang, Shixuan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2438-2457

Persistent link: https://www.econbiz.de/10013184895

A R-Vine Copula Analysis of Non-ferrous Metal Futures with Application in Forecasting Value-at-Risk

Han, Xuyuan - 2020

We employ the R-vine copula approach to study the dependence structures among non-ferrous metal commodity futures on the London Metal Exchange, focusing on the comparison before and after the 2008 financial crisis. We document that the center of dependence structure among non-ferrous metal...

Persistent link: https://www.econbiz.de/10012832070

An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting

Han, Xuyuan; Liu, Zhenya; Wang, Shixuan - In: Journal of commodity markets 25 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013204443

Bitcoin and global financial stress : a copula-based approach to dependence and causality in the quantiles

Bouri, Elie; Gupta, Rangan; Lau, Chi Keung; Roubaud, David - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 297-307

Persistent link: https://www.econbiz.de/10012035019

Dependence structure in the Australian electricity markets : new evidence from regular vine copulae

Apergēs, Nikolaos; Gozgor, Giray; Lau, Chi Keung; … - In: Energy economics 90 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012517130