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.

引用

页数：15

共 50 条

[31] Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skewt-EGARCH-EVT-copula approach
Chen, Jiusheng
[J]. JOURNAL OF RISK, 2023, 25 (03): : 77 - 127
[32] Interdependence of oil prices and stock market indices: A copula approach
Sukcharoen, Kunlapath
Zohrabyan, Tatevik
Leatham, David
Wu, Ximing
[J]. ENERGY ECONOMICS, 2014, 44 : 331 - 339
[33] Estimating risk of Crude oil prices based on SV-EVT-Copula Model
Li Qiang
Gao Yuci
Zou Xiaofeng
Yan Shuaiwu
[J]. PROCEEDINGS OF THE THIRD SYMPOSIUM OF RISK ANALYSIS AND RISK MANAGEMENT IN WESTERN CHINA, 2013, 40 : 273 - 278
[34] Forecasting crude oil prices: A scaled PCA approach
He, Mengxi
Zhang, Yaojie
Wen, Danyan
Wang, Yudong
[J]. ENERGY ECONOMICS, 2021, 97
[35] Forecasting the prices of crude oil: An iterated combination approach
Zhang, Yaojie
Ma, Feng
Shi, Benshan
Huang, Dengshi
[J]. ENERGY ECONOMICS, 2018, 70 : 472 - 483
[36] Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach
Naser, Hanan
[J]. ENERGY ECONOMICS, 2016, 56 : 75 - 87
[37] Relationship between Chinese and International Crude Oil Prices: A VEC-TARCH Approach
Song, Changming
Li, Chongguang
[J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2015, 2015
[38] The Interaction Between Stock Prices and Price of Crude Oil
Arpasova, Michaela
Hudecova, Kristina
[J]. PROCEEDINGS OF THE 15TH INTERNATIONAL SCIENTIFIC CONFERENCE INPROFORUM: NEW TRENDS AND CHALLENGES IN THE MANAGEMENT OF ORGANISATIONS, 2021, : 200 - 205
[39] Causal Effects of World Crude Oil Prices on the Prices of Rice and Soybean Oil: An ARDL Approach
Abdul-Rahim, A. S.
Zariyawati, M. A.
[J]. PERTANIKA JOURNAL OF SOCIAL SCIENCE AND HUMANITIES, 2011, 19 (01): : 123 - 130
[40] Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
Pathak, Rajesh
DasGupta, Ranjan
Sadorsky, Perry
[J]. APPLIED ECONOMICS, 2021, 53 (58) : 6770 - 6788

← 1 2 3 4 5 →