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Erb, C.B., Harvey, C.R. (2006). The strategic and tactical value of commodity futures. Financial Analysts Journal, 62, 69-97.

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Article

Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value Copula Methods

1Faculty of Economics and Management sciences, University of Sfax, Tunisia


International Journal of Econometrics and Financial Management. 2015, Vol. 3 No. 2, 64-75
DOI: 10.12691/ijefm-3-2-3
Copyright © 2015 Science and Education Publishing

Cite this paper:
Zayneb Attaf, Ahmed Ghorbel, Younes Boujelbène. Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value Copula Methods. International Journal of Econometrics and Financial Management. 2015; 3(2):64-75. doi: 10.12691/ijefm-3-2-3.

Correspondence to: Zayneb  Attaf, Faculty of Economics and Management sciences, University of Sfax, Tunisia. Email: attafi.zeineb@hotmail.fr

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 (Kendall’s tau, Spearman’s rho and tail dependence) using filtered data by the AR(1)-GARCH(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.

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