{"title":"基于时变Copula-GARCH的国际原油现货和期货不对称依赖分析","authors":"He Xin, Zhang Jun","doi":"10.2174/1874834101508010463","DOIUrl":null,"url":null,"abstract":"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 fu- tures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This pa- per 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.","PeriodicalId":377053,"journal":{"name":"The Open Petroleum Engineering Journal","volume":"70 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Asymmetric Dependence Analysis of International Crude Oil Spot andFutures Based on the Time Varying Copula-GARCH\",\"authors\":\"He Xin, Zhang Jun\",\"doi\":\"10.2174/1874834101508010463\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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 fu- tures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This pa- per 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.\",\"PeriodicalId\":377053,\"journal\":{\"name\":\"The Open Petroleum Engineering Journal\",\"volume\":\"70 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-10-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Open Petroleum Engineering Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2174/1874834101508010463\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Open Petroleum Engineering Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2174/1874834101508010463","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Asymmetric Dependence Analysis of International Crude Oil Spot andFutures Based on the Time Varying Copula-GARCH
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 fu- tures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This pa- per 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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