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Multivariate models of commodity futures markets: a dynamic copula approach
We apply flexible multivariate dynamic models to capture the dependence structure of various US commodity futures across different sectors between 2004 and 2022; particular attention is paid to the 2008 financial crisis and the COVID-19 pandemic. Our copula-based models allow for time-varying nonlin...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9924215/ https://www.ncbi.nlm.nih.gov/pubmed/36818146 http://dx.doi.org/10.1007/s00181-023-02373-2 |