IDEAS home Printed from https://ideas.repec.org/a/ids/ijfmkd/v3y2014i4p322-357.html
   My bibliography  Save this article

Copulas and dependence structures: evidences from India's and Asian rubber futures markets

Author

Listed:
  • Debasish Maitra
  • Kushankur Dey

Abstract

This paper attempts to model the dependence structures of India's and Asian natural rubber futures (derivatives) markets. Though copula-based literature in commodity markets appears to be limited, it can capture non-linearity unlike simple correlation measures, and thus, the former can estimate magnitude of dependence adequately. This study considers exchange-level futures price across NMCE (India), SHFE (China), TOCOM (Japan) and AFET (Thailand) from July 2006 to April 2010. Analysis shows that relatively a high degree of dependence has been observed between India's and China's markets in comparison to other markets. This paper sheds light on the dominant role of copulas for attaining the methodological congruence of dependence-structure modelling.

Suggested Citation

  • Debasish Maitra & Kushankur Dey, 2014. "Copulas and dependence structures: evidences from India's and Asian rubber futures markets," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 3(4), pages 322-357.
    • Handle: RePEc:ids:ijfmkd:v:3:y:2014:i:4:p:322-357
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=62380
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijfmkd:v:3:y:2014:i:4:p:322-357. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=307 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.