The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes
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DOI: 10.1016/j.eneco.2017.06.007
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More about this item
Keywords
Commodity implied volatility; Dependence; Scale; Copula; Wavelet;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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