Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: AGDI Working Paper ; No. WP/19/092

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: R-vine ; VaR ; Dependence structure ; Tree structure ; Commodity markets

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kumar, Satish ; Tiwari, Aviral Kumar ; Raheem, Ibrahim Dolapo ; Ji, Qiang
• Ereignis: Veröffentlichung
• (wer): African Governance and Development Institute (AGDI)
• (wo): Yaoundé
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/227971
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ