Using copulas to model dependence between crude oil prices

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dc.contributor.authorNajari, Vadoud
dc.date.accessioned2024-07-12T20:47:59Z
dc.date.available2024-07-12T20:47:59Z
dc.date.issued2019en_US
dc.departmentFakülteler, İnsan ve Toplum Bilimleri Fakültesi, Matematik Bölümüen_US
dc.description.abstractIn 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.en_US
dc.identifier.citationNaijari, V. (2019). Using copulas to model dependence between crude oil prices. International Conference of Mathematical Sciences (ICMS 2019). s. 194.en_US
dc.identifier.endpage195en_US
dc.identifier.isbn978-605-2124-29-1
dc.identifier.startpage194en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12415/2075
dc.institutionauthorNajari, Vadoud
dc.language.isoenen_US
dc.publisherMaltepe Üniversitesien_US
dc.relation.ispartofInternational Conference of Mathematical Sciences (ICMS 2019)en_US
dc.relation.publicationcategoryUluslararası Konferans Öğesi - Başka Kurum Yazarıen_US
dc.rightsCC0 1.0 Universal*
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.snmzKY01437
dc.subjectAkaike information criterion (AIC)en_US
dc.subjectCopulasen_US
dc.subjectGoodness of fit test (GOF)en_US
dc.subjectLinear convex combinationen_US
dc.subjectParameter estimationen_US
dc.titleUsing copulas to model dependence between crude oil pricesen_US
dc.typeArticle
dspace.entity.typePublication

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