Commodity and Equity Markets: Some Stylized Facts from a Copula Approach

By Anne-Laure Delatte, Claude Lopez. 2013

167 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/77e6a5408b3458804577617a386f5af6c55e59fa

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Qiang Ji
2. Bing-Yue Liu
3. Ying Fan
4. Boqiang Lin
5. Elie Bouri
6. Dayong Zhang
7. David Roubaud
8. Korhan K. Gokmenoglu

Citations in the corpus

• A new time-varying optimal copula model identifying the dependence across markets (2017, background): “For example, Dias and Embrechts (2004) and Patton (2006) proposed the TVC by assuming that the copula parameters follow a regression-type process.”