Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method
<p>Using a regular vine copula approach, this paper analyzes the dependence structure and tail dependence patterns among daily prices of three agricultural commodities (corn, soybean, and wheat) and two energy commodities (ethanol and crude oil) from June 2006 to June 2016. Our findings sugges...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2018-09-01
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| Series: | International Journal of Energy Economics and Policy |
| Online Access: | https://www.econjournals.com/index.php/ijeep/article/view/6804 |