{"title":"用Copulas模拟西德克萨斯中质原油和欧洲布伦特原油价格的相关性","authors":"V. Najjari","doi":"10.22130/SCMA.2020.117584.713","DOIUrl":null,"url":null,"abstract":"In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe. The main activity is on concentrating copula technique which is powerful technique in modeling dependence structures. Beside several well known Archimedean copulas, three new Archimedean families are used which have recently presented to the literature. Moreover, convex combination of these copulas also are investigated on modeling of the mentioned dependence structure. Modeling process is relied on 318 data which are average of the monthly prices from Jun-1992 to Oct-2018.","PeriodicalId":38924,"journal":{"name":"Communications in Mathematical Analysis","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe\",\"authors\":\"V. Najjari\",\"doi\":\"10.22130/SCMA.2020.117584.713\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe. The main activity is on concentrating copula technique which is powerful technique in modeling dependence structures. Beside several well known Archimedean copulas, three new Archimedean families are used which have recently presented to the literature. Moreover, convex combination of these copulas also are investigated on modeling of the mentioned dependence structure. Modeling process is relied on 318 data which are average of the monthly prices from Jun-1992 to Oct-2018.\",\"PeriodicalId\":38924,\"journal\":{\"name\":\"Communications in Mathematical Analysis\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Communications in Mathematical Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.22130/SCMA.2020.117584.713\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Mathematical Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22130/SCMA.2020.117584.713","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe
In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe. The main activity is on concentrating copula technique which is powerful technique in modeling dependence structures. Beside several well known Archimedean copulas, three new Archimedean families are used which have recently presented to the literature. Moreover, convex combination of these copulas also are investigated on modeling of the mentioned dependence structure. Modeling process is relied on 318 data which are average of the monthly prices from Jun-1992 to Oct-2018.
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