Authors: Jäschke, Stefan
Siburg, Karl F.
Stoimenov, Pavel A.
Title: Modelling dependence of extreme events in energy markets using tail copulas
Language (ISO): en
Abstract: This paper studies, for the first time, the dependence of extreme events in energy markets. Based on a large data set comprising quotes of crude oil and natural gas futures, we estimate and model large co-movements of commodity returns. To detect the presence of tail dependence we apply a new method based on the concept of tail copulas which accounts for different scenarios of joint extreme outcomes. Moreover, we show that the common practice to fit copulas to the data cannot capture the dynamics in the tail of the joint distribution and, therefore, is unsuitable for risk management purposes.
Subject Headings: Extreme events
Crude oil
Natural gas
Tail copulas
Tail dependence
Issue Date: 2011-02-03
Appears in Collections:Preprints der Fakultät für Mathematik

Files in This Item:
File Description SizeFormat 
mathematicalPreprint-2011-02.pdf450.01 kBAdobe PDFView/Open

This item is protected by original copyright

If no CC-License is given, pleas contact the the creator, if you want to use thre resource other than only read it.