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- W2884283756 abstract "Abstract We employ several copula functions to capture conditional and tail dependence during periods of extreme volatility and reverse conditions between shipping, financial, commodity, and credit markets. We find that shocks in the shipping market coincide with dramatic changes in other markets and document the existence of extreme comovements during severe financial conditions. Lower tail dependence exceeds conditional upper tail dependence, indicating that during periods of economic turbulence, dependence increases and the crisis spreads in a domino fashion, causing asymmetric contagion which advances during market downturns. In the postcrisis period, the level of dependence drops systematically and the shipping market becomes more pronouncedly heavy tailed in downward moves. According to the estimated results, accelerated decreases in commodities and prompt variations in volatility provoke accelerated decreases and function as a barometer of shipping market fluctuations." @default.
- W2884283756 created "2018-08-03" @default.
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- W2884283756 date "2018-01-01" @default.
- W2884283756 modified "2023-09-26" @default.
- W2884283756 title "Tail Risks in Credit, Commodity, and Shipping Markets" @default.
- W2884283756 doi "https://doi.org/10.1016/b978-0-12-813830-4.00006-x" @default.
- W2884283756 hasPublicationYear "2018" @default.
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