Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach

被引：46
|
作者：
Naeem, Muhammad [1 ]
Umar, Zaghum [2 ]
Ahmed, Sheraz [3 ]
Ferrouhi, El Mehdi [4 ]
机构：
[1] Univ Cent Punjab, UCP Business Sch, Lahore, Pakistan
[2] Zayed Univ, Coll Business, Abu Dhabi, U Arab Emirates
[3] LUT Univ, Sch Business & Management, Lappeenranta, Finland
[4] Ibn Tofail Univ Kenitra, Fac Econ & Management, Kenitra, Morocco
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 557卷
关键词：
Crude-oil prices; Dependence; EGARCH; Time-varying copula; ETFs; EXCHANGE-RATE; STOCK-MARKET; GOLD PRICE; VOLATILITY; LINKAGES; SPILLOVERS; COMMODITY; RETURNS; WAVELET; MODEL;
D O I：
10.1016/j.physa.2020.124885
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this study, we examine the average and extreme dependence between Exchange Traded Funds ETFs (both energy & commodity) and WTI crude oil prices by using EGARCH-copula models. We use both static (Normal, Student-t, Gumbel and Clayton) and time-varying (Normal and SJC) copulas to explore both average and extreme dependence. Based on the Akaike information criterion (AIC), our results show that time-varying copulas outperform the static copulas. Further, we have found strong enough positive correlations of energy and commodity ETFs with oil prices to suggest that they could be used as a tool for managing oil price risk. Also, contrasting results of time-varying copulas with each other provide useful information regarding the hedge or safe-haven properties of energy and commodity ETFs. (C) 2020 Elsevier B.V. All rights reserved.
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页数：15
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