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Journal of Applied Statistics Volume 44, 2017 - Issue 9
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Original Articles

Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies

Ahmed GhorbelQuantitative Methods Department, CODESI Laboratory, Faculty of Economics and Management of Sfax, Sfax, TunisiaCorrespondence[email protected]
,
Wajdi HammaFinance and Accounting Department, Faculty of Economics and Management of Sfax, Sfax, Tunisia
&
Anis JarbouiFinance and Accounting Department, Faculty of Economics and Management of Sfax, Sfax, Tunisia
Pages 1509-1542 | Received 23 Jul 2014, Accepted 13 Feb 2016, Published online: 21 Jun 2016

Citations (17)

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Read on this site (3)

Jiawen Luo & Qun Zhang. (2021) Risk contagions between global oil markets and China’s agricultural commodity markets under structural breaks. Applied Economics 53:5, pages 628-649.
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Gema Fernández-Avilés, José-María Montero & Lidia Sanchis-Marco. (2020) Extreme downside risk co-movement in commodity markets during distress periods: a multidimensional scaling approach. The European Journal of Finance 26:12, pages 1207-1237.
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Satish Kumar, Aviral Kumar Tiwari, I. D. Raheem & Qiang Ji. (2020) Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach. Applied Economics 52:28, pages 3055-3072.
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Articles from other publishers (14)

Linjie Wang, Jean‐Paul Chavas & Jian Li. (2024) Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. Agricultural Economics.
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N. Musa. (2024) Analysis of Crude Oil Market Volatility and Macroeconomic Conditions: Empirical Evidence from Nigeria. Review of Business and Economics Studies 11:4, pages 61-71.
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Mehmet Balcilar, Ojonugwa Usman & Busra Agan. (2022) On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. Journal of Economic Surveys 38:1, pages 97-136.
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Tianding Zhang, Song Zeng & Jie Li. (2023) Analysis of Comovement Between China's Commodity Futures and World Crude Oil Prices. Prague Economic Papers 32:6, pages 659-698.
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Riadh Aloui, Sami Ben Jabeur, Hichem Rezgui & Wissal Ben Arfi. (2023) Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach. Resources Policy 85, pages 103873.
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Prachi Jain & Debasish Maitra. (2023) Risk implications of dependence in the commodities: A copula-based analysis. Global Finance Journal 57, pages 100859.
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Yu Chen, Xinyi Cao, Shuyue Jin & Tao Xu. (2023) Measuring systemic risk for financial time series: A dynamic bivariate Dvine model. JUSTC 53:11, pages 1101.
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Muhammad Abubakr Naeem, Elie Bouri, Mabel D. Costa, Nader Naifar & Syed Jawad Hussain Shahzad. (2021) Energy markets and green bonds: A tail dependence analysis with time-varying optimal copulas and portfolio implications. Resources Policy 74, pages 102418.
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Bi-Bo Wu. (2021) The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?. Journal of Commodity Markets 23, pages 100158.
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Debasish Maitra, Kousik Guhathakurta & Sang Hoon Kang. (2021) The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. Energy Economics 94, pages 105061.
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Khaled Mokni & Manel Youssef. (2020) Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets. Review of Financial Economics 38:4, pages 635-654.
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Debdatta Pal & Subrata K. Mitra. (2019) Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops. Economic Modelling 82, pages 453-466.
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Panos Fousekis & Vasilis Grigoriadis. (2019) How well can investors diversify with commodities? Evidence from a flexible copula approach. Studies in Economics and Finance 36:2, pages 183-206.
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Qiang Ji, Elie Bouri, David Roubaud & Syed Jawad Hussain Shahzad. (2018) Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model. Energy Economics 75, pages 14-27.
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