Using copulas to model dependence between crude oil prices
Küçük Resim Yok
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe by using copulas. The modeling is considered by several Archimedean copulas and also their convex combinations. To estimate copulas parameters, it is relied on nonparametric estimation (Genest et al. [1]) and also maximum likelihood estimation. Also, to select the right copula, nonparametric and semi-parametric procedure (Genest et al. [1, 2]), GOF test (Genest et al. [3]) and also Akaike information criterion (AIC) are used. GOF test results show that by the nonparametric estimation, all of the selected AC and also their convex combinations are not able to model the dependency of crude oil prices. While by the maximum likelihood estimation, Clayton family and also convex combinations of Clayton and several other families are able to model the dependency of the mentioned crude oil prices. By results of calculations it is summarized that convex combination of the selected copulas improves fitness of them to model dependence of the crude oil prices data.
Açıklama
Anahtar Kelimeler
Akaike information criterion (AIC), Copulas, Goodness of fit test (GOF), Linear convex combination, Parameter estimation
Kaynak
International Conference of Mathematical Sciences (ICMS 2019)
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Naijari, V. (2019). Using copulas to model dependence between crude oil prices. International Conference of Mathematical Sciences (ICMS 2019). s. 194.
