摘要：In this paper we study the tail behavior of the palm oil future markets using the Extreme Value Theory and focusing on the dependence structure between the returns on palm oil future price in three palm oil futures markets, namely Malaysian futures markets (KLSE), Dalian Commodity Exchange (DCE) and Singapore Exchange Derivatives Trading Limited (SGX-DT) by using the Extreme Value Copulas. The results demonstrated that the returns on palm oil future price among KLSE and SGX-DT have dependence in extreme, whereas the returns on palm oil future price among KLSE and DCE, SGX-DT and DCE do not have any dependence. The results could be beneficial for any person or company wishing to be engaged in the commerce of trading palm oil.
