How do crude oil prices co-move? A copula approach

被引:184
作者
Reboredo, Juan C. [1 ]
机构
[1] Univ Santiago de Compostela, Dept Econ, Santiago De Compostela 15782, Spain
关键词
Crude oil prices; Copulas; Tail dependence; Co-movement; INTERNATIONAL EQUITY MARKETS; EGARCH MODELS; GARCH MODELS; DEPENDENCE; VOLATILITY; REGIONALIZATION; COMOVEMENTS;
D O I
10.1016/j.eneco.2011.04.006
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper examines the dependence structure between crude oil benchmark prices using copulas. By considering several copula models with different conditional dependence structures and time-varying dependence parameters, we find evidence of significant symmetric upper and lower tail dependence between crude oil prices. These findings suggest that crude oil prices are linked with the same intensity during bull and bear markets, thus supporting the hypothesis that the oil market is 'one great pool'-in contrast with the hypothesis that states that the oil market is regionalized. Our findings on crude oil price co-movements also have implications for risk management, hedging strategies and asset pricing. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码:948 / 955
页数:8
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