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

标题
Modelling dynamic dependence between crude oil and natural gas return rates: A time-varying geometric copula approach
作者
关键词
Copula, Crude oil, GARCH model, Natural gas
出版物
出版商
Elsevier BV
发表日期
2020-10-24
DOI
10.1016/j.cam.2020.113243

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