Modelling dynamic dependence between crude oil and natural gas return rates: A time-varying geometric copula approach

Published 2020 View Full Article

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Title
Modelling dynamic dependence between crude oil and natural gas return rates: A time-varying geometric copula approach
Authors
Keywords
Copula, Crude oil, GARCH model, Natural gas
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume -, Issue -, Pages 113243
Publisher
Elsevier BV
Online
2020-10-24
DOI
10.1016/j.cam.2020.113243

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