Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach

This study examines the dependency between the return of crude oil future prices and the agricultural commodity future prices as well as provides flexible models for dependency and the conditional volatility GARCH. Therefore, this paper used copula-based GARCH models, which consists in estimating th...

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Main Authors: Phattanan Boonyanuphong, Songsak Sriboonchitta, Chukiat Chaiboonsri
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872763748&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/48218
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-482182018-04-25T08:49:13Z Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach Phattanan Boonyanuphong Songsak Sriboonchitta Chukiat Chaiboonsri This study examines the dependency between the return of crude oil future prices and the agricultural commodity future prices as well as provides flexible models for dependency and the conditional volatility GARCH. Therefore, this paper used copula-based GARCH models, which consists in estimating the marginal distributions of the return of the crude oil price and agricultural commodity prices and then estimates the copula parameters by static and time-varying copula models. The results revealed that the co-movement between crude oil price and agricultural commodity prices are generally strong and there exists symmetric tail dependence between crude oil and agricultural commodity prices in all pairs. However, its tail dependence is relatively weak. The dependence parameters are very volatile over time and deviate from their constant levels. Our findings have important implications for policy makers, producers and traders, which could be used to implement a better policy to optimize and stabilize the markets or their portfolio management in the agricultural commodity markets. © 2013 Springer-Verlag Berlin Heidelberg. 2018-04-25T08:49:13Z 2018-04-25T08:49:13Z 2013-01-01 Book Series 21945357 2-s2.0-84872763748 10.1007/978-3-642-35443-4-18 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872763748&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/48218
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description This study examines the dependency between the return of crude oil future prices and the agricultural commodity future prices as well as provides flexible models for dependency and the conditional volatility GARCH. Therefore, this paper used copula-based GARCH models, which consists in estimating the marginal distributions of the return of the crude oil price and agricultural commodity prices and then estimates the copula parameters by static and time-varying copula models. The results revealed that the co-movement between crude oil price and agricultural commodity prices are generally strong and there exists symmetric tail dependence between crude oil and agricultural commodity prices in all pairs. However, its tail dependence is relatively weak. The dependence parameters are very volatile over time and deviate from their constant levels. Our findings have important implications for policy makers, producers and traders, which could be used to implement a better policy to optimize and stabilize the markets or their portfolio management in the agricultural commodity markets. © 2013 Springer-Verlag Berlin Heidelberg.
format Book Series
author Phattanan Boonyanuphong
Songsak Sriboonchitta
Chukiat Chaiboonsri
spellingShingle Phattanan Boonyanuphong
Songsak Sriboonchitta
Chukiat Chaiboonsri
Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
author_facet Phattanan Boonyanuphong
Songsak Sriboonchitta
Chukiat Chaiboonsri
author_sort Phattanan Boonyanuphong
title Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
title_short Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
title_full Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
title_fullStr Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
title_full_unstemmed Modeling dependency of crude oil price and agricultural commodity prices: A pairwise copulas approach
title_sort modeling dependency of crude oil price and agricultural commodity prices: a pairwise copulas approach
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872763748&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/48218
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