Modelling dependence of extreme events in energy markets using tail copulas

dc.contributor.author	Jäschke, Stefan
dc.contributor.author	Siburg, Karl F.
dc.contributor.author	Stoimenov, Pavel A.
dc.date.accessioned	2011-02-08T13:01:35Z
dc.date.available	2011-02-08T13:01:35Z
dc.date.issued	2011-02-08
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/27610
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-8776
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;08/2011
dc.relation.isversionof	http://hdl.handle.net/2003/27603
dc.subject	Crude oil	en
dc.subject	Extreme event	en
dc.subject	Natural gas	en
dc.subject	Tail copula	en
dc.subject	Tail dependence	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Modelling dependence of extreme events in energy markets using tail copulas	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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