{"id":9325,"date":"2022-07-27T07:00:37","date_gmt":"2022-07-27T07:00:37","guid":{"rendered":"https:\/\/depocen.org\/publications\/a-wavelet-based-copula-approach-for-modeling-market-riskin-agricultural-commodity-markets\/"},"modified":"2022-07-27T07:00:37","modified_gmt":"2022-07-27T07:00:37","slug":"a-wavelet-based-copula-approach-for-modeling-market-riskin-agricultural-commodity-markets","status":"publish","type":"publications","link":"https:\/\/depocen.org\/en\/publications\/a-wavelet-based-copula-approach-for-modeling-market-riskin-agricultural-commodity-markets\/","title":{"rendered":"A wavelet-based copula approach for modeling market risk\r\nin agricultural commodity markets"},"content":{"rendered":"<p>We consider the problem of accurate market risk modeling for agricultural<br \/>\ncommodity products over heterogeneous investment horizons using copulas<br \/>\nand wavelet methods. Our results indicate that the degree and structure<br \/>\nof the dependence of daily commodity returns on the three market risk fac-<br \/>\ntors (federal funds rate, USD\/Euro exchange rate, and world stock market<br \/>\n?uctuations) vary according to the time scale. Changes in the USD\/EUR<br \/>\nexchange rate and the stock market index are the dominant risks for agri-<br \/>\ncultural commodity markets. Moreover, the tail dependence on the daily re-<br \/>\nturns of the three market risk factors is also scale-dependent, and frequently<br \/>\nasymmetric. Finally, there is evidence to suggest that the application of the<br \/>\nwavelet-copula model improves the accuracy of VaR estimates, compared to<br \/>\ntraditional approaches.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1566,1569,1964,1965,1966,1967],"topic_publications":[],"class_list":["post-9325","publications","type-publications","status-publish","hentry","author_publications-duc-khuong-nguyen","author_publications-duc-khuong-nguyen-en","author_publications-riadh-aloui","author_publications-mohamed-safouane-ben-aissa","author_publications-riadh-aloui-en","author_publications-mohamed-safouane-ben-aissa-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications\/9325","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/media?parent=9325"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/cate_publications?post=9325"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/author_publications?post=9325"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/topic_publications?post=9325"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}