Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
DOI10.1016/J.CAM.2020.113243zbMATH Open1459.62218OpenAlexW3093918835MaRDI QIDQ2222183FDOQ2222183
Authors: Kongsheng Zhang, Yanyong Zhao 
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113243
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Cited In (8)
- Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
- A new time-varying optimal copula model identifying the dependence across markets
- Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
- Dependence structure between world crude oil prices: evidence from NYMEX, ICE, and DME markets
- Economic forecasting based on copula quantile curves and beliefs
- Estimation of risk measures in energy portfolios using modern copula techniques
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