Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach-Reference-Cited by-同舟云学术

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Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach

Published:2020-10-07 Issue: Volume: Page:
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Li Hemei¹,Liu Zhenya¹²³^ORCID,Wang Shixuan⁴^ORCID

Affiliation:

1. School of Finance Renmin University of China Beijing China

2. CERGAM Aix‐Marseille University Marseille France

3. China Financial Policy Research Center Renmin University of China Beijing China

4. Department of Economics University of Reading Reading UK

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2280

Reference63 articles.

1. Pair-copula constructions of multiple dependence

2. Beyond simplified pair-copula constructions

3. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

4. Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method

5. Dependence structure in the Australian electricity markets: New evidence from regular vine copulae

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1. Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods;Cogent Economics & Finance;2024-08-05

2. On the estimation of Value-at-Risk and Expected Shortfall at extreme levels;Journal of Commodity Markets;2024-06

3. Risk implications of dependence in the commodities: A copula-based analysis;Global Finance Journal;2023-08

4. Chimera: An atlas of regular vines on up to 8 nodes;Scientific Data;2023-05-31

5. Network Momentum across Asset Classes;SSRN Electronic Journal;2023

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