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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102891

    Title: The Volatility Behavior and Dependence Structure of WTI Crude Oil Spot and Future Price
    Authors: 陳冠穎;李沃牆
    Contributors: 淡江大學財務金融學系
    Keywords: Crude Oil;Volatility;Dependence;Copula;AR-GJR-GARCH
    Date: 2015-05
    Issue Date: 2015-05-11 14:27:24 (UTC+8)
    Publisher: 淡江大學管理科學學系
    Abstract: 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.
    Relation: Proceeding of the 2015 International Conference in Management Sciences and Decision Making
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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