论文标题
基于副群的能源，农业和金属商品市场之间的地方依赖
Copula-based local dependence between energy, agriculture and metal commodity markets
论文作者
论文摘要
本文研究了能源，农业和金属商品市场之间的极端依赖性，重点是当地共同体，从而确定了不对称性和共同运动程度的变化趋势。更准确地说，从非参数混合物副群开始，我们使用一种新型的基于Copula的本地Kendall的TAU方法来测量区域中的非线性局部依赖性。在各对商品指数中，我们发现在极端情况下的共同发展增加，低尾部的能源和其他商品市场之间的依赖性更强，以及能量金对的“ V型”本地依赖性。分位数中上尾的三维肯德尔的tau图显示了能量金对中的不对称共体，在峰值回报时倾向于变为负。因此，我们表明，在极端牛市事件的情况下，能源市场可以为风险管理提供多元化解决方案。
This paper studies the extreme dependencies between energy, agriculture and metal commodity markets, with a focus on local co-movements, allowing the identification of asymmetries and changing trend in the degree of co-movements. More precisely, starting from a non-parametric mixture copula, we use a novel copula-based local Kendall's tau approach to measure nonlinear local dependence in regions. In all pairs of commodity indexes, we find increased co-movements in extreme situations, a stronger dependence between energy and other commodity markets at lower tails, and a 'V-type' local dependence for the energy-metal pairs. The three-dimensional Kendall's tau plot for upper tails in quantiles shows asymmetric co-movements in the energy-metal pairs, which tend to become negative at peak returns. Therefore, we show that the energy market can offer diversification solutions for risk management in the case of extreme bull market events.
