%0 Journal Article
%T Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe
%J Sahand Communications in Mathematical Analysis
%I University of Maragheh
%Z 2322-5807
%A Najjari, Vadoud
%D 2020
%\ 11/01/2020
%V 17
%N 4
%P 49-59
%! Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe
%K Akaike information criterion (AIC)
%K Copulas
%K Goodness of fit test (GOF)
%K Linear convex combination
%K Parameter estimation
%R 10.22130/scma.2020.117584.713
%X In this study the main endeavor is to model dependence structure between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe. The main activity is on concentrating copula technique which is powerful technique in modeling dependence structures. Beside several well known Archimedean copulas, three new Archimedean families are used which have recently presented to the literature. Moreover, convex combination of these copulas also are investigated on modeling of the mentioned dependence structure. Modeling process is relied on 318 data which are average of the monthly prices from Jun-1992 to Oct-2018.
%U http://scma.maragheh.ac.ir/article_40585_bd1f9a1ce021e3bbff96aba91937ac08.pdf