An Analysis of the Dependence Between Crude Oil Price and Ethanol Price Using Bivariate Extreme Value Copulas

This paper studies the dependence structure between the returns of ethanol prices and crude oil prices. Since our focus was on the dependence behavior based on component-wise maxima, bivariate extreme value copulas were adopted. Our empirical study used two energy spot prices, the Chicago Ethanol Sp...

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書目詳細資料
主要作者: Aujcharapran Rojmaneebunpot
其他作者: Prof. Dr. Songsak Sriboonchitta
格式: Theses and Dissertations
語言:English
出版: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่ 2017
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在線閱讀:http://cmuir.cmu.ac.th/jspui/handle/6653943832/39918
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