Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach
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DOI: 10.1016/j.resourpol.2021.102049
Abstract: Abstract We examine the energy-food nexus using the dependence-switching copula model. Specifically, we look at the dependence for four distinct market states, such as, increasing oil–increasing commodity, declining oil–declining commodity, increasing oil–declining commodity, as well… read more here.
Keywords: oil agricultural; commodity markets; oil; commodity ... See more keywords