An analysis of volatility and dependence between rubber spot and futures prices using copula-extreme value theory
This paper aims to estimate the dependency between spot rubber price and futures prices using the copula-extreme value theory based on semi-parametric approaches, which combine copula functions with the conditional extreme value theory to construct the dependence models. The C-EVT model is used to e...
محفوظ في:
المؤلفون الرئيسيون: | Phattanan Boonyanuphong, Songsak Sriboonchitta |
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التنسيق: | Book Series |
منشور في: |
2018
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الموضوعات: | |
الوصول للمادة أونلاين: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897846608&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53425 |
الوسوم: |
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مواد مشابهة
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An analysis of volatility and dependence between rubber spot and futures prices using copula-extreme value theory
بواسطة: Phattanan Boonyanuphong, وآخرون
منشور في: (2018) -
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