Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach

被引：50

作者：

Naeem, Muhammad ^{[1
]}

Umar, Zaghum ^{[2
]}

Ahmed, Sheraz ^{[3
]}

Ferrouhi, El Mehdi ^{[4
]}

机构：

[1] Univ Cent Punjab, UCP Business Sch, Lahore, Pakistan

[2] Zayed Univ, Coll Business, Abu Dhabi, U Arab Emirates

[3] LUT Univ, Sch Business & Management, Lappeenranta, Finland

[4] Ibn Tofail Univ Kenitra, Fac Econ & Management, Kenitra, Morocco

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 557卷

关键词：

Crude-oil prices; Dependence; EGARCH; Time-varying copula; ETFs; EXCHANGE-RATE; STOCK-MARKET; GOLD PRICE; VOLATILITY; LINKAGES; SPILLOVERS; COMMODITY; RETURNS; WAVELET; MODEL;

D O I：

10.1016/j.physa.2020.124885

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this study, we examine the average and extreme dependence between Exchange Traded Funds ETFs (both energy & commodity) and WTI crude oil prices by using EGARCH-copula models. We use both static (Normal, Student-t, Gumbel and Clayton) and time-varying (Normal and SJC) copulas to explore both average and extreme dependence. Based on the Akaike information criterion (AIC), our results show that time-varying copulas outperform the static copulas. Further, we have found strong enough positive correlations of energy and commodity ETFs with oil prices to suggest that they could be used as a tool for managing oil price risk. Also, contrasting results of time-varying copulas with each other provide useful information regarding the hedge or safe-haven properties of energy and commodity ETFs. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：15

共 36 条

[1] Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach [J].