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...
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| Main Authors: | , |
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| Format: | Book Series |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897846608&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53425 |
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| Institution: | Chiang Mai University |