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Modeling the multivariate dynamic dependence structure of commodity futures portfolios

2017

Aepli, Matthias D. | Füss, Roland | Henriksen, Tom Erik S. | Paraschiv, Florentina


Bibliographic information
Journal of Commodity Markets
Volume 6 Pagination 66 - 87 ISSN 2405-8513
Publisher
Elsevier B.V.
Other Subjects
Regime-switching copulas; Forecast performance; Multivariate dynamic copulas; C32; C53; C51; Dynamic conditional correlation (dcc) model; Commodity futures; Commodity portfolio
Language
English
Type
Text; Journal Article

2024-02-28
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