Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach

DOI10.1016/J.CAM.2020.113243MaRDI QIDQ2222183zbMATH OpenOpenAlexFDO

Authors Kongsheng Zhang, Yanyong Zhao

Publication date 3 February 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2020.113243

zbMATH Keywords

copulaGARCH modelnatural gascrude oil

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• A new class of copulas involved geometric distribution: estimation and applications
• A new method for adding a parameter to a family of distributions with application to the exponential and Weibull families
• A survey on time-varying copulas: specification, simulations, and application
• An introduction to copulas.
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• The multi-state latent factor intensity model for credit rating transitions

Cited in

(8)

• Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
• A new time-varying optimal copula model identifying the dependence across markets
• Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
• Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
• Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
• Dependence structure between world crude oil prices: evidence from NYMEX, ICE, and DME markets
• Economic forecasting based on copula quantile curves and beliefs
• Estimation of risk measures in energy portfolios using modern copula techniques

Describes a project that uses

Uses Software

• Rugarch

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