Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH
نویسندگان
چکیده
منابع مشابه
Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH
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 ther...
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ژورنال
عنوان ژورنال: The Open Petroleum Engineering Journal
سال: 2015
ISSN: 1874-8341
DOI: 10.2174/1874834101508010463