RESEARCH ARTICLE


Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH



He Xin1, *, Zhang Jun2
1 Department of Information Management, Beijing Institute of Petrochemical Technology, Beijing, 102617, P.R. China;
2 Department of Information Management, Tianjin University of Science and Technology, Tianjin, 300457, P.R. China


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© 2015 Xin et al.;

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.

Correspondence: * Address correspondence to this author at the Department of information management, Beijing Institute of Petrochemical Technology, Beijing, 102617, P.R. China; Tel: +86 10 52489515; Fax: +86 10 58850501-1987; E-mail: hexin@bipt.edu.cn


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 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.

Keywords: Crude oil market, Dependence structure, Futures price, Sliding window, Time-varying copulas.