@article{ijefm2015323,
author={{Attaf, Zayneb and Ghorbel, Ahmed and Boujelb¨¨ne, Younes},
title={Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value Copula Methods},
journal={International Journal of Econometrics and Financial Management},
volume={3},
number={2},
pages={64--75},
year={2015},
url={http://pubs.sciepub.com/ijefm/3/2/3},
issn={2374-2038},
abstract={In this work, our objective is to study the intensity of dependence between six non-energy commodity sectors in a bivariate context. Our methodology is to chose, in a first step, the appropriate copula flowing Akaike criteria. In a second step, we aim to calculate the dependence coefficients (KendallĄ¯s tau, SpearmanĄ¯s rho and tail dependence) using filtered data by the <i>AR</i>(1)-<i>GARCH</i>(1.1) model to study the dependence between the extreme events. Empirical results show that dependence between non-energy commodity markets increases during volatile periods but they offer many opportunities to investors to diversify their portfolio and reduce their degree of risk aversion in bearish market periods.},
doi={10.12691/ijefm-3-2-3}
publisher={Science and Education Publishing}
}