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Dependence and risk management of portfolios of metals and agricultural commodity futures
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2020Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns1,435 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies880 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2020Coronavirus (COVID-19) — An epidemic or pandemic for financial markets

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715 cited
  • 2010Copula Theory and Its Applications669 cited
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