Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238958 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-25
Publisher: 
MDPI, Basel
Abstract: 
We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We found that negative dependence and significant tail dependence exist in all pairs considered. The Russian Ruble (RUB)-WTI pair has the strongest dependence. Moreover, we treated five exchange rate-oil pairs as portfolios and evaluated the Value at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil price falls sharply.
Subjects: 
exchange rate
oil price
BRICS
dependence structure
copula
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.