The Open Petroleum Engineering Journal




(Discontinued)

ISSN: 1874-8341 ― Volume 12, 2019

Dynamic Nonlinear Correlation Studies on Stock and Oil Market Based on Copula


The Open Petroleum Engineering Journal , 2015, 8: 405-409

He Xin, Zhang Guofu

Department of information management, Beijing Institute of Petrochemical Technology, Beijing, 102617, China.

Electronic publication date 15/9/2015
[DOI: 10.2174/1874834101508010405]

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Abstract:

Employing the dataset of WTI oil spot price and stock price index in China,Brazil, India, US, German, France, UK and Japan, this paper obtains five subintervals of whole sample range through a nonparametric multiple change point algorithms. Furthermore, it analyzes dependence between oil spot price and stock price index through copula model and computes the value of VaR and ES based on simulation for every subinterval. It reveals that dependence between oil spot price and stock price index during financial crisis is an asymmetric tail dependence. The value of VaR and ES of the oil spot price and stock price index shows irregular fluctuation.


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