Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market

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...

Полное описание

Библиографические подробности
Главные авторы:	Shalini Agnihotri, Kanishk Chauhan
Формат:	Статья
Язык:	English
Опубликовано:	LLC "CPC "Business Perspectives" 2022-07-01
Серии:	Investment Management & Financial Innovations
Предметы:	Delta Co-VaR financialization of the commodity market India portfolio diversification quantile regression systemic risk
Online-ссылка:	https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16746/IMFI_2022_03_Agnihotri.pdf

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