英文文献:Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach-能源、农业和贵金属大宗商品的依赖风险分析:一对葡萄连接法
英文文献作者:Satish Kumar,Aviral K. Tiwari,Ibrahim D. Raheem,Qiang Ji
英文文献摘要:
We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13 major commodity markets (which include three energy commodities, six agricultural commodities and four precious metals prices) from 2 January 2003 to 19 December 2016. Dividing our sample into three sub-periods, namely pre-GFC, GFC and post-GFC, we find that the dependencies among commodities undergo changes in a complex manner, changing in different financial conditions, and that the Student-t copula appears on the maximum number of occasions, especially during the GFC period, signifying the existence of fatter tails in the distributions of returns. We further show that the co-dependencies computed using R-vine copulas are best suited to compute the portfolio VaR during the considered time period.
我们应用配对藤条联结,特别是c -藤条和r -藤条联结,来研究有条件的多元依赖模式/结构,以及基于r -藤条联结的风险价值(VaR)来评估金融组合风险。我们研究了2003年1月2日至2016年12月19日13个主要商品市场(包括三种能源商品、六种农产品和四种贵金属价格)的相互依赖性。将样本划分为三个sub-periods,即pre-GFC、GFC post-GFC,我们发现商品之间的依赖关系进行一个复杂的方式的变化,改变不同的财务状况,而t接合部上出现的最大数量的场合,尤其是在GFC时期,标志着存在的胖尾分布的回报。我们进一步表明,使用R-vine copulas计算的相互依赖关系最适合计算所考虑时间段内的投资组合VaR。