Davari, Atefeh

[ 1 ] - A Copula-based Quantile Model for Crude oil Return-Volatility Dependence Modelling: Case of Iran Heavy Oil

The main purpose of this study is to investigate the relationship between Iran’s heavy crude oil price returns and volatility dependence using the Copula-based quantile model (CQM). CQM is an efficient tool for analyzing nonlinear time series models as it has no need for initial assumptions.  We use monthly data from January 1990 to December 2019. We use the Hadrick-Prescott filter to calculate...