The Volatility Behavior and Dependence Structure of WTI Crude Oil Spot and Future Price
學年 103
學期 2
發表日期 2015-05-16
作品名稱 The Volatility Behavior and Dependence Structure of WTI Crude Oil Spot and Future Price
作品名稱（其他語言）
著者 陳冠穎; 李沃牆
作品所屬單位 淡江大學財務金融學系
出版者 淡江大學管理科學學系
會議名稱 The 2015 International Conference in Management Sciences and Decision Making
會議地點 新北市, 台灣
摘要 This paper aims to investigate the volatility’s dependence between WTI crude oil spot and future returns using the copula based AR-GJR-GARCH model. In empirical study, we apply the mode to fit the joint density function. Further to find the static and dynamic rank correlations. The data period contains Jan. 1, 2001 to Dec. 31, 2014. The results show that Clayton is the best model and rank correlation is high to 0.8 which implies that there is high dependence between oil spot and future return volatility. That will be helpful for risk management and investment decision.
關鍵字 Crude Oil; Volatility; Dependence; Copula; AR-GJR-GARCH
語言 en_US
收錄於
會議性質 國際
校內研討會地點 淡水校園
研討會時間 20150516~20150516
通訊作者 陳冠穎
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 Proceeding of the 2015 International Conference in Management Sciences and Decision Making
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102891 )

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