Commodity and Equity Markets: Some Stylized Facts from a Copula Approach
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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.
- Anne-Laure Delatte & Claude Lopez, 2014. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," Post-Print hal-01410596, HAL.
- Claude Lopez & Anne-Laure Delatte, 2014. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," Post-Print hal-01663129, HAL.
- Delatte, A-L. & Lopez, C., 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula," Working papers 421, Banque de France.
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More about this item
Keywordscommodity market; comovement; copula; equity market; tail-dependence; time varying;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- F30 - International Economics - - International Finance - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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