Dependence structure between world crude oil prices: Evidence from NYMEX, ICE, and DME markets
© 2014 by the Mathematical Association of Thailand. All rights reserved. This paper examines the dependence structure between world crude oil prices using the D-vine copula based GARCH model to analyze three random variables, namely, Light crude futures 1-Pos (NYMEX), Brent crude futures 1- Pos (ICE...
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| Main Authors: | , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907233000&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53668 |
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| Institution: | Chiang Mai University |