How is China's coke price related with the world oil price? The role of extreme movements
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- 作者：Yanfeng Guo ; Xiaoqian Wen ; wxqkou@sina.com" class="auth_mail" title="E-mail the corresponding author ; Yanrui Wu ; Xiumei Guo
- 关键词：C22 ; C58 ; G32 ; Q38 ; Q48
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：November 2016
- 年：2016
- 卷：58
- 期：Complete
- 页码：22-33
- 全文大小：910 K
文摘
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Jump behaviors are found in both the world oil price and China's coke price.
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The effect of world oil price shocks on China's coke price is asymmetric.
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Response of China's coke price to the oil price jump intensity is short-lived.
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Lower tail dependence is found between the world oil price and China's coke price.