Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence

DOI10.1007/S10479-021-04511-4zbMath1494.91146OpenAlexW4205981015MaRDI QIDQ2150861

Avik Sinha, Arnab Adhikari, Ankit Sharma, Arshian Sharif

Publication date: 30 June 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04511-4

zbMATH Keywords

uncertaintyvolatilityIndiacross-quantilogramenergy market commodity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Financial markets (91G15)

Related Items (1)

Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future

Uses Software

• quantilogram
• Unnamed Item

Cites Work

• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• The quantilogram: with an application to evaluating directional predictability
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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