Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market
Investment in commodity markets in India accelerated after 2007; this was accompanied by large price variability, hence, it becomes imperative to measure commodity price risk precisely. It becomes equally important to study the relationship between commodity price variability and the stock market. H...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2022-07-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16746/IMFI_2022_03_Agnihotri.pdf |