Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19

DOI10.1007/s10479-022-04522-9OpenAlexW4205842549MaRDI QIDQ6148794

Elie Bouri, Oksana Grebinevych, David Roubaud, Najaf Iqbal

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-022-04522-9

zbMATH Keywords

COVID19asymmetrycommodity futurescrisis periodsextreme realized volatility spilloversquantile connectedness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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