The Open Petroleum Engineering Journal


ISSN: 1874-8341 ― Volume 12, 2019

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

The Open Petroleum Engineering Journal, 2015, 8: 463-467

He Xin, Zhang Jun

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

Electronic publication date 22/10/2015
[DOI: 10.2174/1874834101508010463]

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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.

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