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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| Format: | Theses and Dissertations |
| Language: | English |
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เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
2017
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| Online Access: | http://cmuir.cmu.ac.th/jspui/handle/6653943832/39918 |
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| Institution: | Chiang Mai University |
| Language: | English |