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Time-varying copula models in the shipping derivatives market · Study

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ArticleTime-varying copula models in the shipping derivatives market

Wenming Shi2016

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Articlegreen2016

Time-varying copula models in the shipping derivatives market

Wenming Shi · Kevin X. Li · Yang Zhong-zhi · Ganggang Wang

29 citations·0/0 files stored·Empirical Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Risk Management in Financial Firms

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References

1986Generalized autoregressive conditional heteroskedasticity 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2004Copula Methods in Finance 1979The Hedging Performance of the New Futures Markets

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2021Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis

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Year2016

Typearticle

Published2016-08-26

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s00181-016-1146-9

openalex_workW2517833256

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