Dependence structure between world crude oil prices: Evidence from NYMEX, ICE, and DME markets

Dependence structure between world crude oil prices: Evidence from NYMEX, ICE, and DME markets

© 2014 by the Mathematical Association of Thailand. All rights reserved. This paper examines the dependence structure between world crude oil prices using the D-vine copula based GARCH model to analyze three random variables, namely, Light crude futures 1-Pos (NYMEX), Brent crude futures 1- Pos (ICE...

Saved in:

書目詳細資料
Main Authors:	T. Kiatmanaroch, S. Sriboonchitta
格式:	雜誌
出版:	2018
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907233000&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45251
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

相似書籍

Dependence structure between world crude oil prices: Evidence from NYMEX, ICE, and DME markets
由: T. Kiatmanaroch, et al.
出版: (2018)

Dependence structure between crude oil, soybeans, and palm oil in ASEAN region: Energy and food security context
由: Teera Kiatmanaroch, et al.
出版: (2018)

Dependence structure between crude oil, soybeans, and palm oil in ASEAN region: Energy and food security context
由: Teera Kiatmanaroch, et al.
出版: (2018)

Relationship between exchange rates, palm oil prices, and crude oil prices: A vine copula based GARCH approach
由: Teera Kiatmanaroch, et al.
出版: (2018)

Relationship between exchange rates, palm oil prices, and crude oil prices: A vine copula based GARCH approach
由: Teera Kiatmanaroch, et al.
出版: (2018)

Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
由: Teera Kiatmanaroch, et al.
出版: (2018)

Volatility linkages between price returns of Crude oil and crude palm oil in the ASEAN region: A copula based GARCH approach
由: Teera Kiatmanaroch, et al.
出版: (2018)

Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
由: Boonyanuphong P., et al.
出版: (2014)

Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
由: Phattanan Boonyanuphong, et al.
出版: (2018)

Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
由: Phattanan Boonyanuphong, et al.
出版: (2018)

RELATIONSHIP BETWEEN CRUDE OIL PRICE AND INDONESIA STOCK MARKET
由: Lumban Gaol, Yosua

Modelling dependency structures of crude oil prices and stock markets of developed and developing countries: A C-vine copula approach
由: Ruofan Liao, et al.
出版: (2020)

An Analysis of the Dependence Between Crude Oil Price and Ethanol Price Using Bivariate Extreme Value Copulas
由: Aujcharapran Rojmaneebunpot
出版: (2017)

Will QE change the dependence between Baht/Dollar exchange rates and price returns of AOT and MINT?
由: T. Kiatmanaroch, et al.
出版: (2018)

Will QE change the dependence between Baht/Dollar exchange rates and price returns of AOT and MINT?
由: T. Kiatmanaroch, et al.
出版: (2018)

Dependence between volatility of stock price index returns and volatility of exchange rate returns under QE programs: Case studies of Thailand and Singapore
由: Puarattanaarunkorn O., et al.
出版: (2017)

Investigating relationship between gold price and crude oil price using interval data with copula based GARCH
由: Teerawut Teetranont, et al.
出版: (2018)

Investigating relationship between gold price and crude oil price using interval data with copula based GARCH
由: Teerawut Teetranont, et al.
出版: (2018)

Dependence structure between TOURISM and TRANS sector indices of the stock exchange of Thailand
由: O. Puarattanaarunkorn, et al.
出版: (2018)

Dependence structure between TOURISM and TRANS sector indices of the stock exchange of Thailand
由: O. Puarattanaarunkorn, et al.
出版: (2018)

A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price
由: Bai, Xiwen, et al.
出版: (2021)

Dependence between volatility of stock price index returns and volatility of exchange rate returns under QE programs: Case studies of Thailand and Singapore
由: Ornanong Puarattanaarunkorn, et al.
出版: (2018)

MARKET PRICE VOLATILITY, INTERNATIONAL CRUDE OIL RETURN, AND EXPORT VALUE IN INDONESIAN EQUITY MARKET
由: Intan Sari, Winda

The dynamics of crude oil price movements : from price expectation perspectives
由: Lucy Kusnadi, et al.
出版: (2014)

A study of degree of correlation between the world crude prices and the stock prices of Petron and Texaco during the period of 1996-1999
由: Lai, Jayson L., et al.
出版: (2000)

A research on the relationship of transfer pricing in the downstream oil industry and Philippine crude oil prices
由: Besana, Priscilla, et al.
出版: (2000)

Forecasting crude oil price using neural networks
由: Komsan Suriya
出版: (2018)

Forecasting crude oil price using neural networks
由: Suriya K.
出版: (2017)

Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
由: Paravee Maneejuk, et al.
出版: (2018)

Mixed-copulas approach in examining the relationship between oil prices and ASEAN’s stock markets
由: Paravee Maneejuk, et al.
出版: (2018)

Co-movement and dependency between New York Stock Exchange, London Stock Exchange, Tokyo Stock Exchange, oil price, and gold price
由: Pathairat Pastpipatkul, et al.
出版: (2018)

Co-movement and dependency between New York Stock Exchange, London Stock Exchange, Tokyo Stock Exchange, oil price, and gold price
由: Pathairat Pastpipatkul, et al.
出版: (2018)

ANALYSIS OF GLOBAL CRUDE OIL PRICE MOVEMENTS AND THEIR EFFECTS ON OIL AND GAS COMPANY STOCK PRICES IN INDONESIA
由: Zakiy Muyamman, Ahmad

The impact of low crude oil price on the maritime industry (international oil companies)
由: Tan, Ying Quan
出版: (2021)

The impact of low crude oil price on the maritime industry (ports)
由: Liauw, Priscilia Mei Yuan
出版: (2021)

Managing Crude Oil Price Risks Using Brent Futures
由: LIM, Kian Guan, et al.
出版: (1997)

Modeling the dependence among crude oil, stock and exchange rate: A bayesian smooth transition vector autoregression
由: Payap Tarkhamtham, et al.
出版: (2019)

Crude palm oil and its futures market
由: , PARDEDE, Ronaldo, et al.
出版: (2002)

COMOVEMENT ANALYSIS OF GLOBAL CRUDE OIL PRICE PRICE AGAINST STOCK PRICE OF CERTAIN OIL AND GAS COMPANIES USING WAVELET COHERENCE
由: Zakiy Muyamman, Ahmad

Investigation of price formation in different commodities in the seaborne trade : crude oil
由: Tan, Samuel Wei Khang
出版: (2016)