A1 Journal article (refereed), original research

Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach


Publication Details
Authors: Naeem Muhammad, Umar Zaghum, Ahmed Sheraz, Ferrouhi El Mehdi
Publisher: Elsevier
Publication year: 2020
Language: English
Related Journal or Series Information: Physica A: Statistical Mechanics and its Applications
Volume number: 557
ISSN: 0378-4371
eISSN: 1873-2119
JUFO-Level of this publication: 1
Open Access: Not an Open Access publication

Abstract

In this study, we examine the average and extreme dependence between Exchange Traded Funds ETFs (both energy & commodity) and WTI crude oil prices by using EGARCH-copula models. We use both static (Normal, Student-t, Gumbel and Clayton) and time-varying (Normal and SJC) copulas to explore both average and extreme dependence. Based on the Akaike information criterion (AIC), our results show that time-varying copulas outperform the static copulas. Further, we have found strong enough positive correlations of energy and commodity ETFs with oil prices to suggest that they could be used as a tool for managing oil price risk. Also, contrasting results of time-varying copulas with each other provide useful information regarding the hedge or safe-haven properties of energy and commodity ETFs.


Last updated on 2020-05-10 at 07:41