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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.