The Open Petroleum Engineering Journal

2015, 8 : 405-409
Published online 2015 September 15. DOI: 10.2174/1874834101508010405
Publisher ID: TOPEJ-8-405

Dynamic Nonlinear Correlation Studies on Stock and Oil Market Based on Copula

He Xin and Zhang Guofu
Department of information management, Beijing Institute of Petrochemical Technology, Beijing, 102617, China.

ABSTRACT

Employing the dataset of WTI oil spot price and stock price index in China，Brazil, India, US, German, France, UK and Japan, this paper obtains five subintervals of whole sample range through a nonparametric multiple change point algorithms. Furthermore, it analyzes dependence between oil spot price and stock price index through copula model and computes the value of VaR and ES based on simulation for every subinterval. It reveals that dependence between oil spot price and stock price index during financial crisis is an asymmetric tail dependence. The value of VaR and ES of the oil spot price and stock price index shows irregular fluctuation.

Keywords:

Copula, Dependence, Oil, Stock, Nonparametric, Price.