The Risk Dependence Structure between the Futures and Spot Market - A Mixture Copula Approach.
Jianjun XuFangzhou YuPublished in: BIFE (2013)
Keyphrases
- dependence structure
- spot market
- iron ore
- unit commitment
- garch model
- marginal distributions
- higher order statistics
- power generation
- mixture model
- markov networks
- market share
- gaussian distribution
- probabilistic graphical models
- panel data
- expected profit
- heavy tailed
- joint distribution
- stock market
- pricing strategies
- expectation maximization
- learning algorithm
- short term
- parameter estimation
- stochastic systems
- model selection
- graphical models
- probability distribution
- multiscale