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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.