کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063639 1476698 2017 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes
ترجمه فارسی عنوان
ساختار وابستگی روغن، گندم و ذرت: یک رویکرد کوپولا مبتنی بر موجک با استفاده از شاخص های بی ثباتی ضمنی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی


- Examine the dependence structure between the implied volatility indexes of oil, wheat and corn
- Use a combination of wavelet and copula methods
- Find time-varying asymmetric tail dependence
- Find the dependence structure sensitive to time horizons

This paper examines the dependence structure between three commodities implied volatility indexes (oil, wheat and corn) during bear, normal and bull markets and at different scales. For this purpose, we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons. The results support evidence of time-varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons - short-term horizon, medium term horizon and long term horizon, suggesting that the dependence structure is sensitive to time horizons. These results have important implications for the analysis of portfolio risk management.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 66, August 2017, Pages 122-139
نویسندگان
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