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Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
16 references·0 citing·32 second hop
Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies (2016)Dependence between oil and commodities ma…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment (2004)Oil Shocks and Aggregate Macr…Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Are Oil Shocks Inflationary?:…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Modelling Extremal Events (1997)Modelling Extremal EventsDo Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Do Gasoline Prices Respond As…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Ordinal Measures of Association (1958)Ordinal Measures of Associati…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Econometric Analysis of Cross Section and Panel Data (2001)Asymmetric correlations of equity portfolios (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)
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References

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  • 2004Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment733 cited

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  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
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