期刊
ENERGY ECONOMICS
卷 66, 期 -, 页码 122-139出版社
ELSEVIER
DOI: 10.1016/j.eneco.2017.06.007
关键词
Commodity implied volatility; Dependence; Scale; Copula; Wavelet
类别
This paper examines the dependence structure between three commodities implied volatility indexes (oil, wheat and corn) during bear, normal and bull markets and at different scales. For this purpose, we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons. The results support evidence of time-varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons short-term horizon, medium term horizon and long term horizon, suggesting that the dependence structure is sensitive to time horizons. These results have important implications for the analysis of portfolio risk management. (C) 2017 Elsevier B.V. All rights reserved.
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