Modeling dependence of agricultural commodity futures through markov switching copula with mixture distribution regimes
© 2019 by the Mathematical Association of Thailand. All rights reserved. Proposed is a Markov Switching copula with mixture distribution regimes for modeling the dependence of agricultural commodity futures. This model involves different dependence structures that can characterize the dependence beh...
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| Main Authors: | , , |
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| Format: | Journal |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068476852&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65695 |
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| Institution: | Chiang Mai University |