A High-Dimensional, Multivariate Copula Approach to Modeling Multivariate Agricultural Price Relationships and Tail Dependencies
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- Fousekis, Panos & Grigoriadis, Vasilis, 2016. "Spatial price dependence by time scale: Empirical evidence from the international butter markets," Economic Modelling, Elsevier, vol. 54(C), pages 195-204.
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Keywordsvine copula; agricultural commodity prices; tail dependencies; Agribusiness; Agricultural Finance; Demand and Price Analysis;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-03 (All new papers)
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