Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH

被引：0
|
作者：
Xin, He [1 ]
Jun, Zhang [2 ]
机构：
[1] Beijing Inst Petrochem Technol, Dept Informat Management, Beijing 102617, Peoples R China
[2] Tianjin Univ Sci & Technol, Dept Informat Management, Tianjin 300457, Peoples R China
来源：
OPEN PETROLEUM ENGINEERING JOURNAL | 2015年 / 8卷
基金：
中国国家自然科学基金;
关键词：
Crude oil market; dependence structure; futures price; sliding window; time-varying copulas;
D O I：
10.2174/1874834101508010463
中图分类号：
TE [石油、天然气工业];
学科分类号：
0820 ;
摘要：
Taking daily return of international crude oil spot and futures as sample, this paper analyzed the time varying and asymmetric dependence structure of them by time varying Copula-GARCH model based on sliding window and semi parameter estimation. This paper analyzed the changing regular between dependence structure of crude oil spot and futures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This paper found that the size of the sliding window had no significant influence to the conclusion, and the data of weekly return is more suitable for analysis of the trend of dependence structure.
引用
收藏
页码：463 / 467
页数：5
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