教師資料查詢 | 類別: 會議論文 | 教師: 李沃牆 Lee, Wo-chiang (瀏覽個人網頁)

標題: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
語言英文(美國)
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
國別中華民國
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
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