ALOUI, RIADH; AISSA, MOHAMED SAFOUANE BEN; NGUYEN, DUC … - Institut de Préparation à l'Administration et à la … - 2014
We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity returns on the three market risk factors...