An analysis of volatility and dependence between rubber spot and futures prices using copula-extreme value theory

• المؤلفون الرئيسيون: Phattanan Boonyanuphong, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Engineering
• 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

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...