 Copula-based local dependence among energy, agriculture and metal commodities marketsClaudiu Albulescu (), Aviral Tiwari and Qiang Ji Energy, 2020, vol. 202, issue C Abstract: This paper studies the extreme dependencies among energy, agriculture and metal commodities markets, with an emphasis on local co-movements. By applying a novel, copula-based, local Kendall’s tau approach to measure nonlinear local dependence in regions, we identified asymmetric co-movements in and between bull and bear markets, as well as the changing trend in the degree of co-movements. Starting from a non-parametric mixture copula, we found that commodities markets’ co-movements increase in extreme situations. In addition, we found a stronger dependence between energy and other commodities markets at lower tails. Therefore, we showed that the energy market can offer diversification solutions for risk management in the case of extreme bull market events. Keywords: Energy prices; Commodities markets; Local dependence; Co-movements; Mixture copula; Local Kendall’s tau (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:202:y:2020:i:c:s0360544220308690 DOI: 10.1016/j.energy.2020.117762 Access Statistics for this article Energy is currently edited by Henrik Lund and Mark J. Kaiser More articles in Energy from Elsevier |
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