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Using nonparametric copulas to measure crude oil price co-movements

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1 Published in 2019 at "Energy Economics"

DOI: 10.1016/j.eneco.2018.05.022

Abstract: Abstract Tail dependence of crude oil price returns between four major benchmark markets are analyzed through the lenses of nonparametric copula models. This paper illustrates that nonparametric copula is flexible to incorporate important empirical patterns… read more here.

Keywords: oil price; using nonparametric; oil; crude oil ... See more keywords