Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas

Saiful Izzuan Hussain and Steven Li

The World Economy, 2022, vol. 45, issue 1, 317-335

Abstract: This paper examines the dependence structure between oil futures with other major commodities including gold, copper, zinc, aluminium, rubber, corn, cotton and sugar in China. To this end, we apply the extreme value theory (EVT) and dynamic copula approach, which allows for measuring both average and tail dependence. Contrary to the findings in the literature on stock markets, this paper reveals significant right tail dependence rather than left tail dependence between oil futures and most of the other eight commodities. These findings provide a new insight regarding the behaviour of oil and other major commodities. This paper thus has some significant implications for investors, risk managers and policymakers.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/twec.13123

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:worlde:v:45:y:2022:i:1:p:317-335

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0378-5920

Access Statistics for this article

The World Economy is currently edited by David Greenaway

More articles in The World Economy from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().