Boerger, Reik H.; Cartea, Alvaro; Kiesel, Ruediger; … - Birkbeck, Department of Economics, Mathematics & Statistics - 2007
The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are concerned with describing the joint return...