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Copula-based local dependence among energy, agriculture and metal commodities markets · Study

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ArticleCopula-based local dependence among energy, agriculture and metal commodities markets

Claudiu Tiberiu Albulescu2020

OA

Articlegreen2020

Copula-based local dependence among energy, agriculture and metal commodities markets

Claudiu Tiberiu Albulescu · Aviral Kumar Tiwari · Qiang Ji

78 citations·0/0 files stored·Energy

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Financial Risk and Volatility Modeling Economics of Agriculture and Food Markets Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 78 citations exist upstream.

References

2002Dynamic Conditional Correlation 1998Modeling Asymmetric Comovements of Asset Returns 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies 2007Measuring financial contagion: A Copula approach 1981On Nonparametric Measures of Dependence for Random Variables 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

Cited by

2021Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak 2022Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness 2020Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management 2022Copula Modelling to Analyse Financial Data

Details

Year2020

Typearticle

Published2020-05-05

VenueEnergy

ISSN-L0360-5442

Languageen

Citations78

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.energy.2020.117762

openalex_workW3023699555

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