Blar i NTNU Handelshøyskolen på forfatter "Aepli, Matthias, D."
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Modeling the multivariate dynamic dependence structure of commodity futures portfolios
Aepli, Matthias, D.; Füss, Roland; Henriksen, Tom Erik Sønsteng; Paraschiv, Florentina (Journal article, 2017)This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the ...