This paper investigates permanent and transitory spillover effects from Brent oil futures to
four agricultural futures–corn, wheat, soybean and canola. We construct permanent and …

An agricultural producer's crop yield and the subsequent farming revenues are affected by
many complex factors, including price fluctuations, government policy and climate (eg …

Energy commodities present significant interest for the world market and energy
organizations worldwide. The comprehension of the asset returns and risk has played a …

This work applies copula modeling to estimate the degree of dependence among the nine
major equity markets from the Western Hemisphere, seven emerging markets from Latin …

Performance evaluation of financial models for pricing and risk estimation and subsequent
selection of models that should be regarded as efficient is one of the most important tasks of …

This paper investigates how inflation uncertainty affects real GDP growth in five AsiaPacific
countries-Australia, New Zealand, Japan, South Korea and Indonesia, whereby these …

This chapter discusses the copula methods for application in finance. It provides an
overview of the concept of copula, and the underlying statistical theories as well as theorems …

This paper investigates the bidirectional linkage between inflation and its uncertainty
(inflation volatility) in the selected ten emerging Asian countries. In order to measure inflation …

Market risk estimation is a challenging and no less important task of all financial institutions,
which requires the modeling of portfolio returns. When modeling the portfolio returns, we are …

In this paper, we estimate Value at Risk for a selected portfolio using elliptical and
hierarchical Archimedean copulas, where the latter is based on a recent approach to …