An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting
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DOI: 10.1016/j.jcomm.2021.100188
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Citations
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Cited by:
- Gaete, Michael & Herrera, Rodrigo, 2023.
"Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach,"
Journal of Commodity Markets, Elsevier, vol. 32(C).
- Gaete, Michael & Herrera, Rodrigo, 2022. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," MPRA Paper 115641, University Library of Munich, Germany.
- Marta Małecka & Radosław Pietrzyk, 2024. "A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4533-4567, October.
- Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara, 2024. "Tail risk spillover effects in commodity markets: A comparative study of crisis periods," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Zhou, Jianguo & Xu, Zhongtian, 2023. "A novel three-stage hybrid learning paradigm based on a multi-decomposition strategy, optimized relevance vector machine, and error correction for multi-step forecasting of precious metal prices," Resources Policy, Elsevier, vol. 80(C).
- Chen, Xiangyu & Tongurai, Jittima, 2024. "Revisiting the interdependences across global base metal futures markets: Evidence during the main waves of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 70(PB).
- Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
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More about this item
Keywords
R-vine copula; Dependence structure; Financial crisis; Value-at-Risk; Structural breaks; Tail dependence;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
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