Rethinking Valuation and Pricing Models

19

A Copula Approach to Dependence Structure in Petroleum Markets

Riadh Aloui^∗, Mohamed Safouane Ben Aïssa^∗ and Duc Khuong Nguyen^∗∗

^∗University of Tunis El Manar

^∗∗ISC Paris School of Management

Chapter Outline

19.1 Introduction

19.2 Empirical Methodology

19.2.1 Copulas and dependence

19.2.2 Empirical procedure

19.3 Data and Results

19.3.1 Data and stochastic properties

19.3.2 Empirical results from GARCH-based copula models

19.3.3 Value at risk forecasting with a three-dimensional Student-t copula

19.4 Conclusion

References

19.1 Introduction

While time series properties and volatility of petroleum prices have been examined by several past studies (see, e.g. Choi and Hammoudeh, 2009; Arouri et al., 2012, and references therein), little is known ...