Copula-based local dependence among energy, agriculture and metal commodities markets

Claudiu Albulescu (), Aviral Tiwari and Qiang Ji

Working Papers from HAL

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; commodity markets; local dependence; co-movements; mixture copula; local Kendall's tau (search for similar items in EconPapers)
Date: 2020-04-01
New Economics Papers: this item is included in nep-agr and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-02501815v2
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Citations: View citations in EconPapers (42)

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Journal Article: Copula-based local dependence among energy, agriculture and metal commodities markets (2020)
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