Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics"
DOI: 10.1080/00036846.2019.1705240
Abstract: ABSTRACT We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13… read more here.
Keywords: pair vine; risk; dependence; vine copula ... See more keywords