Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH
He Xin1, *, Zhang Jun2
Identifiers and Pagination:Year: 2015
First Page: 463
Last Page: 467
Publisher Id: TOPEJ-8-463
Article History:Received Date: 26/5/2015
Revision Received Date: 14/7/2015
Acceptance Date: 10/8/2015
Electronic publication date: 22/10/2015
Collection year: 2015
open-access license: This is an open access article distributed under the terms of the Creative Commons Attribution 4.0 International Public License (CC-BY 4.0), a copy of which is available at: https://creativecommons.org/licenses/by/4.0/legalcode. This license permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
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 regular changing 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 on the conclusion, and the data of weekly return is more suitable for analysis of the trend of dependence structure of spot.