Empirical Evidence Linking Futures Price Movements of Biofuel Crops and Conventional Energy Fuel

DOI10.1007/978-3-319-13449-9_20zbMath1418.91523OpenAlexW2131226926MaRDI QIDQ4558847

Aree Wiboonpongse, Songsak Sriboonchitta, Jianxu Liu, David Roland-Holst, David Zilberman

Publication date: 30 November 2018

Published in: Econometrics of Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_20

zbMATH Keywords

expected shortfalltail dependenceGaussian copulacopula modelasset return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

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