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文章基本信息

  • 标题:Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH
  • 本地全文:下载
  • 作者:He Xin ; Zhang Jun
  • 期刊名称:Open Petroleum Engineering Journal
  • 印刷版ISSN:1874-8341
  • 出版年度:2015
  • 卷号:8
  • 期号:1
  • 页码:463-467
  • DOI:10.2174/1874834101508010463
  • 出版社:Bentham open
  • 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.

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