How do crude oil prices co-move?: A copula approach

By Juan Carlos Reboredo. 2011

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e96880674c3a8dfeee7d1d5cd83f9a8fc35c222d

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Citations in the corpus

Quantile dependence of oil price movements and stock returns (2016, methodology): “…from the US Energy Information Agency (http://www.eia.doe.gov) and expressed in USD per barrel, as it is a benchmark for determining the price of light crudes and is closely related to other crude oil benchmark such as those for West Texas Intermediate (WTI), Maya, Dubai, etc (see Reboredo, 2011).”
Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2014, methodology): “…and time-varying copula–GARCHmodels (similar to the method used, e.g., in Patton, 2006a, 2006b; Sun, Rachev, Fabozzi, and Kalev, 2009; Ning, 2010; Reboredo, 2011, 2012; Wang, Chen, and Huang, 2011) to study the dependence structure between crude oil prices and stock returns in ten Asia-Pacific…”
Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model (2015, unknown): “To the best of our knowledge, copulas have been used in commodities markets by Zohrabyan (2014)[14], Kharoubi and German(2008)[15], Reboredo (2011)[16], Nguyen and Bhatti (2012)[17], Hammoudeh et al (2013)[18] and Syed et al(2014)[19].”
Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014, background): “Please cite this article as: Hammoudeh, Shawkat, Mensi, Walid, Reboredo, Juan Carlos, Nguyen, Duc Khuong, Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors, Pacific-Basin Finance Journal (2014), doi: 10.”