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A wavelet-based copula approach for modeling market risk in agricultural commodity markets

Xuất bản: 27 July, 2022

Duc Khuong Nguyen, Duc Khuong Nguyen, RIADH ALOUI, MOHAMED SAFOUANE BEN AISSA, RIADH ALOUI, MOHAMED SAFOUANE BEN AISSA

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity...

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