Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model | |
Liu, Bing-Yue1,2; Ji, Qiang2,3; Fan, Ying4 | |
刊名 | ENERGY ECONOMICS |
2017 | |
期号 | 68页码:53-65 |
语种 | 英语 |
内容类型 | 期刊论文 |
源URL | [http://ir.casipm.ac.cn/handle/190111/8357] |
专题 | 科技战略咨询研究院_2016年1月更名为:中国科学院科技战略咨询研究院 |
作者单位 | 1.Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China. 2.Chinese Acad Sci, Inst Sci & Dev, Ctr Energy & Environm Policy Res, Beijing 100190, Peoples R China. 3.Univ Chinese Acad Sci, Sch Publ Policy & Management, Beijing 100049, Peoples R China. 4.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China |
推荐引用方式 GB/T 7714 | Liu, Bing-Yue,Ji, Qiang,Fan, Ying. Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model[J]. ENERGY ECONOMICS,2017(68):53-65. |
APA | Liu, Bing-Yue,Ji, Qiang,&Fan, Ying.(2017).Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model.ENERGY ECONOMICS(68),53-65. |
MLA | Liu, Bing-Yue,et al."Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model".ENERGY ECONOMICS .68(2017):53-65. |
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