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A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price
16 references·0 citing·33 second hop
A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price (2018)A copula-GARCH approach for analyzing dyn…Copula Methods for Forecasting Multivariate Time Series (2013)Copula Methods for Forecastin…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2012)Conditional dependence struct…The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)The economic value of co-move…How do crude oil prices co-move? (2011)How do crude oil prices co-mo…Transportation Costs and International Trade in the Second Era of Globalization (2007)Transportation Costs and Inte…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…Copula Methods in Finance (2004)Copula Methods in FinancePrice relationships in the petroleum market: an analysis of crude oil and refined product prices (2003)Price relationships in the pe…An Introduction to Copulas (1999)An Introduction to CopulasStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…On Nonparametric Measures of Dependence for Random Variables (1981)On Nonparametric Measures of …The nature and growth of vertical specialization in world trade (2001)Time as a Trade Barrier (2002)Across-Product Versus Within-Product Specialization in International Trade (2004)The elasticity of trade: Estimates and evidence (2013)The Nature of Cities: The Scope and Limits of Urban Theory (2014)American Economic Review (2019)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Ordinal Measures of Association (1958)Random variables, joint distribution functions, and copulas (1973)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Correlations and Copulas for Decision and Risk Analysis (1999)Copulas for Finance - A Reading Guide and Some Applications (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)
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  • 2003Price relationships in the petroleum market: an analysis of crude oil and refined product prices166 cited
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