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Rethinking Valuation and Pricing Models by Greg N. Gregoriou, Christian Hoppe, Carsten Wehn

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19

A Copula Approach to Dependence Structure in Petroleum Markets

Riadh Aloui, Mohamed Safouane Ben Aïssa and Duc Khuong Nguyen∗∗

University of Tunis El Manar

∗∗ISC Paris School of Management

Chapter Outline

19.1 Introduction

While time series properties and volatility of petroleum prices have been examined by several past studies (see, e.g. Choi and Hammoudeh, 2009; Arouri et al., 2012, and references therein), little is known ...

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