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Using nonparametric copulas to measure crude oil price co-movements*

* This paper is a replication of an original study

Author

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  • Ho, Anson T.Y.
  • Huynh, Kim P.
  • Jacho-Chávez, David T.

Abstract

Tail dependence of crude oil price returns between four major benchmark markets are analyzed through the lenses of nonparametric copula models. This paper illustrates that nonparametric copula is flexible to incorporate important empirical patterns of tail dependence and provides better goodness-of-fit to the data than the optimal parametric copula. Estimation results show that the level and the structure of tail dependence of crude oil returns vary significantly depending on data frequency and the time period covered.

Suggested Citation

  • Ho, Anson T.Y. & Huynh, Kim P. & Jacho-Chávez, David T., 2019. "Using nonparametric copulas to measure crude oil price co-movements," Energy Economics, Elsevier, vol. 82(C), pages 211-223.
    • Handle: RePEc:eee:eneeco:v:82:y:2019:i:c:p:211-223
    DOI: 10.1016/j.eneco.2018.05.022
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
    2. Xiaoyu Niu & Wei Chen & Nyuying Wang, 2023. "Spatiotemporal Dynamics and Topological Evolution of the Global Crude Oil Trade Network," Energies, MDPI, vol. 16(4), pages 1-18, February.
    3. Mateo Velásquez‐Giraldo & Gustavo Canavire‐Bacarreza & Kim P. Huynh & David T. Jacho‐Chavez, 2018. "Flexible Estimation of Demand Systems: A Copula Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1109-1116, November.
    4. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2020. "Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction," Energy Economics, Elsevier, vol. 92(C).

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    Replication

    This item is a replication of:
  • Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.

    • More about this item

    Keywords

    Crude oil prices; Nonparametric copula; Tail dependence; Co-movement;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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