中文导读
原油价格风险是一个重要且热门的话题,而研究原油隐含波动率与原油价格之间的关系为这个热门话题的研究提供了新的思路。今日小编推荐《Dynamic return-volatility dependence and riskmeasure of CoVaR in the oil market: A time-varying mixed copula model》一文,该文重点研究了原油波动指数(OVX)对西德克萨斯原油(WTI)的相关性以及风险溢出特征。传统研究大多描述了原油与其他金融变量间的总体相关性,对于尾部风险行为没有很深入的研究。该文除了研究传统的时变相关系数,还深入讨论了在OVX各种不同极端条件下WTI的尾部变化,细致刻画了OVX对WTI的非对称风险传染。方法上本文创新性的使用了时变组合Copula模型来构建两个变量之间的条件联合分布。由于传统的(旋转)Copula方法只能描述变量间某种单一的尾部特征或相关性,而时变组合Copula模型可以克服这一不足,它将变量之间的条件联合分布刻画地更加精准。综上,无论是研究视角或研究方法,该文都有一定的启示意义,在此推荐本文,以飨读者。
AbstractThisstudy investigates the risk level in the oil market measured by Value-at-Risk(VaR) and conditional VaR (CoVaR), as well as the dynamic and asymmetricdependence between WTI returns and crude oil volatility index (OVX), byconstructing six time-varying mixed copula models. Results show that mixed copulabetween t copula and the 270-degree rotated Clayton copula is the optimalfitting copula to measure dynamic dependence. The estimated time-varyingKendall coefficients indicate that WTI returns and OVX present negativedependence most of the time. There exists a structural change point ofdependence between WTI returns and OVX changes on April 17, 2009, while thedependence characteristics within the subsamples are similar to that in thewhole sample, indicating the rationality of our time-varying mixed copulamodels. Finally, the tests show significant risk spillover from OVX to WTIreturns and also asymmetric effects for CoVaRs in response to different upsideand downside extreme OVX movements.