TY - JOUR ID - 40585 TI - Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe JO - Sahand Communications in Mathematical Analysis JA - SCMA LA - en SN - 2322-5807 AU - Najjari, Vadoud AD - Young Researchers and Elite Club, Maragheh branch, Islamic Azad University, Maragheh, Iran. Y1 - 2020 PY - 2020 VL - 17 IS - 4 SP - 49 EP - 59 KW - Akaike information criterion (AIC) KW - Copulas KW - Goodness of fit test (GOF) KW - Linear convex combination KW - Parameter estimation DO - 10.22130/scma.2020.117584.713 N2 - 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. UR - https://scma.maragheh.ac.ir/article_40585.html L1 - https://scma.maragheh.ac.ir/article_40585_6cd919a3846d83fe93955345a97b2f3e.pdf ER -