The best copula modeling of dependence structure among gold, oil prices, and U.S. currency

The best copula modeling of dependence structure among gold, oil prices, and U.S. currency

© Springer International Publishing AG 2016. As internationally traded commodities typically depend on the value of US dollar, this paper especially focuses on the most traded commodities, gold and crude oil, and tries to examine the dependence structures between these variables and the US currency....

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Main Authors: Pathairat Pastpipatkul, Paravee Maneejuk, Songsak Sriboonchitt
Format: Book Series
Published: 2018
Subjects:
Computer Science
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006063433&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55569
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-555692018-09-05T03:06:48Z The best copula modeling of dependence structure among gold, oil prices, and U.S. currency Pathairat Pastpipatkul Paravee Maneejuk Songsak Sriboonchitt Computer Science Mathematics © Springer International Publishing AG 2016. As internationally traded commodities typically depend on the value of US dollar, this paper especially focuses on the most traded commodities, gold and crude oil, and tries to examine the dependence structures between these variables and the US currency. We employ various types of copulas i.e. the multivariate copula, vine copula, and the Markov switching copula and examine for the best-fit copula functions to model the dependency. Evidence from this study shows that gold and oil prices follow an inverse relationship with the value of US dollar but the relationship between gold and oil itself is strongly positive. However, the pair copulas given condition by another variable results in some attractive correlations. 2018-09-05T02:57:58Z 2018-09-05T02:57:58Z 2016-01-01 Book Series 16113349 03029743 2-s2.0-85006063433 10.1007/978-3-319-49046-5_42 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006063433&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55569
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle Computer Science
Mathematics
Pathairat Pastpipatkul
Paravee Maneejuk
Songsak Sriboonchitt
The best copula modeling of dependence structure among gold, oil prices, and U.S. currency
description © Springer International Publishing AG 2016. As internationally traded commodities typically depend on the value of US dollar, this paper especially focuses on the most traded commodities, gold and crude oil, and tries to examine the dependence structures between these variables and the US currency. We employ various types of copulas i.e. the multivariate copula, vine copula, and the Markov switching copula and examine for the best-fit copula functions to model the dependency. Evidence from this study shows that gold and oil prices follow an inverse relationship with the value of US dollar but the relationship between gold and oil itself is strongly positive. However, the pair copulas given condition by another variable results in some attractive correlations.
format Book Series
author Pathairat Pastpipatkul
Paravee Maneejuk
Songsak Sriboonchitt
author_facet Pathairat Pastpipatkul
Paravee Maneejuk
Songsak Sriboonchitt
author_sort Pathairat Pastpipatkul
title The best copula modeling of dependence structure among gold, oil prices, and U.S. currency
title_short The best copula modeling of dependence structure among gold, oil prices, and U.S. currency
title_full The best copula modeling of dependence structure among gold, oil prices, and U.S. currency
title_fullStr The best copula modeling of dependence structure among gold, oil prices, and U.S. currency
title_full_unstemmed The best copula modeling of dependence structure among gold, oil prices, and U.S. currency
title_sort best copula modeling of dependence structure among gold, oil prices, and u.s. currency
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006063433&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55569
_version_ 1681424530286837760

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