Commodity and Equity Markets: Some Stylized Facts from a Copula
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- Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
- Delatte, Anne-Laure & Lopez, Claude, 2012. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," MPRA Paper 39860, University Library of Munich, Germany.
- Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," CEPR Discussion Papers 9558, C.E.P.R. Discussion Papers.
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More about this item
Keywordscopula; commodity market; time varying; tail-dependence; comovement; equity market.;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- F30 - International Economics - - International Finance - - - General
- Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
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