{"id":"https://openalex.org/W4366545115","doi":"https://doi.org/10.1016/j.resourpol.2023.103567","title":"Dependence and risk management of portfolios of metals and agricultural commodity futures","display_name":"Dependence and risk management of portfolios of metals and agricultural commodity futures","publication_year":2023,"publication_date":"2023-04-20","ids":{"openalex":"https://openalex.org/W4366545115","doi":"https://doi.org/10.1016/j.resourpol.2023.103567"},"language":"en","primary_location":{"id":"doi:10.1016/j.resourpol.2023.103567","doi":"https://doi.org/10.1016/j.resourpol.2023.103567","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2023.103567","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources Policy","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5053222184","display_name":"Waqas Hanif","orcid":"https://orcid.org/0000-0002-0034-2049","observed_orcids":["https://orcid.org/0000-0002-0034-2049"]},"institutions":[{"id":"https://openalex.org/I16076960","display_name":"COMSATS University Islamabad","ror":"https://ror.org/00nqqvk19","country_code":"PK","type":"education","lineage":["https://openalex.org/I16076960"]},{"id":"https://openalex.org/I4405252708","display_name":"Centro de Estudos e Forma\u00e7\u00e3o Avan\u00e7ada em Gest\u00e3o e Economia","ror":"https://ror.org/00z72xb75","country_code":"PT","type":"education","lineage":["https://openalex.org/I4405252708"]},{"id":"https://openalex.org/I71503853","display_name":"University of Algarve","ror":"https://ror.org/014g34x36","country_code":"PT","type":"education","lineage":["https://openalex.org/I71503853"]}],"countries":["PK","PT"],"is_corresponding":false,"raw_author_name":"Waqas Hanif","raw_affiliation_strings":["CEFAGE - Center of Advanced Studies in Management and Economics, University of Algarve, Portugal","Department of Management Sciences, COMSATS University Islamabad, Attock Campus, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CEFAGE - Center of Advanced Studies in Management and Economics, University of Algarve, Portugal","institution_ids":["https://openalex.org/I4405252708","https://openalex.org/I71503853"]},{"raw_affiliation_string":"Department of Management Sciences, COMSATS University Islamabad, Attock Campus, Pakistan","institution_ids":["https://openalex.org/I16076960"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5021863807","display_name":"Walid Mensi","orcid":"https://orcid.org/0000-0002-6616-7220","observed_orcids":["https://orcid.org/0000-0002-6616-7220"]},"institutions":[{"id":"https://openalex.org/I181727666","display_name":"University of Economics Ho Chi Minh City","ror":"https://ror.org/010yce376","country_code":"VN","type":"education","lineage":["https://openalex.org/I181727666"]},{"id":"https://openalex.org/I4405277912","display_name":"Vi\u1ec7n Nghi\u00ean c\u1ee9u kinh doanh","ror":"https://ror.org/049y2qx28","country_code":"VN","type":"facility","lineage":["https://openalex.org/I4405277912"]},{"id":"https://openalex.org/I47818738","display_name":"Sultan Qaboos University","ror":"https://ror.org/04wq8zb47","country_code":"OM","type":"education","lineage":["https://openalex.org/I47818738"]}],"countries":["OM","VN"],"is_corresponding":false,"raw_author_name":"Walid Mensi","raw_affiliation_strings":["Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman","Institute of Business Research, University of Economics Ho Chi Minh City, Vietnam"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman","institution_ids":["https://openalex.org/I47818738"]},{"raw_affiliation_string":"Institute of Business Research, University of Economics Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I181727666","https://openalex.org/I4405277912"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5001100407","display_name":"Xuan Vinh Vo","orcid":"https://orcid.org/0000-0002-3868-8176","observed_orcids":["https://orcid.org/0000-0002-3868-8176"]},"institutions":[{"id":"https://openalex.org/I181727666","display_name":"University of Economics Ho Chi Minh City","ror":"https://ror.org/010yce376","country_code":"VN","type":"education","lineage":["https://openalex.org/I181727666"]}],"countries":["VN"],"is_corresponding":false,"raw_author_name":"Xuan Vinh Vo","raw_affiliation_strings":["Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Vietnam"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I181727666"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014581783","display_name":"Ahmed BenSa\u00efda","orcid":"https://orcid.org/0000-0001-5591-4393","observed_orcids":["https://orcid.org/0000-0001-5591-4393"]},"institutions":[{"id":"https://openalex.org/I125656591","display_name":"Effat University","ror":"https://ror.org/02cnwgt19","country_code":"SA","type":"education","lineage":["https://openalex.org/I125656591"]},{"id":"https://openalex.org/I8636806","display_name":"University of Sousse","ror":"https://ror.org/00dmpgj58","country_code":"TN","type":"education","lineage":["https://openalex.org/I8636806"]}],"countries":["SA","TN"],"is_corresponding":false,"raw_author_name":"Ahmed BenSa\u00efda","raw_affiliation_strings":["College of Business, Effat University, Jeddah, Saudi Arabia","LaREMFiQ Laboratory, University of Sousse, Tunisia"],"raw_orcid":"https://orcid.org/0000-0001-5591-4393","affiliations":[{"raw_affiliation_string":"College of Business, Effat University, Jeddah, Saudi Arabia","institution_ids":["https://openalex.org/I125656591"]},{"raw_affiliation_string":"LaREMFiQ Laboratory, University of Sousse, Tunisia","institution_ids":["https://openalex.org/I8636806"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5039644066","display_name":"Jos\u00e9 Arreola Hern\u00e1ndez","orcid":"https://orcid.org/0000-0002-5158-6967","observed_orcids":["https://orcid.org/0000-0002-5158-6967"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Jose Arreola Hernandez","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5101545219","display_name":"Sang Hoon Kang","orcid":"https://orcid.org/0000-0002-1236-136X","observed_orcids":["https://orcid.org/0000-0002-1236-136X"]},"institutions":[{"id":"https://openalex.org/I4921948","display_name":"Pusan National University","ror":"https://ror.org/01an57a31","country_code":"KR","type":"education","lineage":["https://openalex.org/I4921948"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"Sang Hoon Kang","raw_affiliation_strings":["PNU Business School, Pusan National University, Busan, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"PNU Business School, Pusan National University, Busan, Republic of Korea","institution_ids":["https://openalex.org/I4921948"]}]}],"institutions":[],"countries_distinct_count":7,"institutions_distinct_count":9,"corresponding_author_ids":["https://openalex.org/A5101545219"],"corresponding_institution_ids":["https://openalex.org/I4921948"],"apc_list":{"value":2740,"currency":"USD","value_usd":2740},"apc_paid":null,"fwci":4.6421,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.9526558,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":99},"biblio":{"volume":"82","issue":null,"first_page":"103567","last_page":"103567"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9140999913215637,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9140999913215637,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.07980000227689743,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.002099999925121665,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/commodity-dependence","display_name":"commodity dependence","score":0.7009999752044678},{"id":"https://openalex.org/keywords/agricultural-products","display_name":"agricultural commodities","score":0.7059999704360962},{"id":"https://openalex.org/keywords/vine-copulas","display_name":"vine copulas","score":0.8679999709129333},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.921999990940094},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.7850000262260437},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.8529999852180481},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.546999990940094},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.7680000066757202},{"id":"https://openalex.org/keywords/asymmetric-dependence","display_name":"asymmetric dependence","score":0.4189999997615814},{"id":"https://openalex.org/keywords/gold","display_name":"gold","score":0.48399999737739563},{"id":"https://openalex.org/keywords/copper","display_name":"copper","score":0.5139999985694885},{"id":"https://openalex.org/keywords/wheat","display_name":"wheat","score":0.5370000004768372}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6979248523712158},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6767114400863647},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.592317521572113},{"id":"https://openalex.org/C118518473","wikidata":"https://www.wikidata.org/wiki/Q11451","display_name":"Agriculture","level":2,"score":0.49832582473754883},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.4646240174770355},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4526899755001068},{"id":"https://openalex.org/C2779676228","wikidata":"https://www.wikidata.org/wiki/Q25303905","display_name":"Vine copula","level":3,"score":0.4429932236671448},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4319829046726227},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.41201093792915344},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.34935539960861206},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3341161012649536},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2370256781578064},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.1822865903377533},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.resourpol.2023.103567","doi":"https://doi.org/10.1016/j.resourpol.2023.103567","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2023.103567","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources Policy","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002787","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0301420723002787","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:sapientia.ualg.pt:10400.1/19646","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10400.1/19646","pdf_url":null,"source":{"id":"https://openalex.org/S4306402433","display_name":"Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"journal article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.6735000014305115,"display_name":"Zero hunger","id":"https://metadata.un.org/sdg/2"}],"study_designs":[],"awards":[{"id":"https://openalex.org/G5084973117","display_name":null,"funder_award_id":"NRF- 2022S1A5A2A01038422","funder_id":"https://openalex.org/F4320322120","funder_display_name":"National Research Foundation of Korea"},{"id":"https://openalex.org/G8853870935","display_name":"Centro de Estudos e Forma\u00e7\u00e3o Avan\u00e7ada em Gest\u00e3o e Economia da Universidade de \u00c9vora (CEFAGE-UE)","funder_award_id":"UIDB/04007/2020","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"}],"funders":[{"id":"https://openalex.org/F4320319003","display_name":"\u0110\u1ea1i h\u1ecdc Kinh t\u1ebf Th\u00e0nh ph\u1ed1 H\u1ed3 Ch\u00ed Minh","ror":"https://ror.org/010yce376"},{"id":"https://openalex.org/F4320321408","display_name":"Ministry of Education","ror":"https://ror.org/01p262204"},{"id":"https://openalex.org/F4320322120","display_name":"National Research Foundation of Korea","ror":"https://ror.org/013aysd81"},{"id":"https://openalex.org/F4320334779","display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","ror":"https://ror.org/00snfqn58"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":73,"referenced_works":["https://openalex.org/W156493003","https://openalex.org/W1064328543","https://openalex.org/W1588163064","https://openalex.org/W1647779468","https://openalex.org/W1830787149","https://openalex.org/W1964166103","https://openalex.org/W1987136708","https://openalex.org/W1989976821","https://openalex.org/W2009748190","https://openalex.org/W2019291268","https://openalex.org/W2026564718","https://openalex.org/W2026576569","https://openalex.org/W2030338847","https://openalex.org/W2032191703","https://openalex.org/W2039734130","https://openalex.org/W2057218189","https://openalex.org/W2066281896","https://openalex.org/W2092340563","https://openalex.org/W2097580026","https://openalex.org/W2114407659","https://openalex.org/W2118431855","https://openalex.org/W2122549219","https://openalex.org/W2124513778","https://openalex.org/W2176566256","https://openalex.org/W2228307171","https://openalex.org/W2239335835","https://openalex.org/W2463494750","https://openalex.org/W2479980505","https://openalex.org/W2491929758","https://openalex.org/W2564328920","https://openalex.org/W2589092125","https://openalex.org/W2784189632","https://openalex.org/W2803706895","https://openalex.org/W2886832133","https://openalex.org/W2887862704","https://openalex.org/W2894742041","https://openalex.org/W2902559832","https://openalex.org/W2914036798","https://openalex.org/W2931083542","https://openalex.org/W2939876046","https://openalex.org/W2942616990","https://openalex.org/W2972387379","https://openalex.org/W2980955033","https://openalex.org/W2984510736","https://openalex.org/W3007134246","https://openalex.org/W3015769695","https://openalex.org/W3016199483","https://openalex.org/W3016835286","https://openalex.org/W3019724901","https://openalex.org/W3023748671","https://openalex.org/W3023788704","https://openalex.org/W3025870819","https://openalex.org/W3046246596","https://openalex.org/W3047784513","https://openalex.org/W3081754198","https://openalex.org/W3105998315","https://openalex.org/W3107967651","https://openalex.org/W3121940608","https://openalex.org/W3122220226","https://openalex.org/W3122493854","https://openalex.org/W3123295117","https://openalex.org/W3123598957","https://openalex.org/W3124530599","https://openalex.org/W3124837614","https://openalex.org/W3151725860","https://openalex.org/W3179218985","https://openalex.org/W4213147292","https://openalex.org/W4220708569","https://openalex.org/W4230644069","https://openalex.org/W4250315764","https://openalex.org/W4292675364","https://openalex.org/W4310249269","https://openalex.org/W6776093246"],"related_works":["https://openalex.org/W2998493873","https://openalex.org/W3124638658","https://openalex.org/W3135835389","https://openalex.org/W128252491","https://openalex.org/W3162186564","https://openalex.org/W2513105450","https://openalex.org/W3205697250","https://openalex.org/W3177951630","https://openalex.org/W2538335686","https://openalex.org/W4292388624"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":11},{"year":2023,"cited_by_count":3}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2023-04-22T00:00:00"}
