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The Best Copula Modeling of Dependence Structure Among Gold, Oil Prices, and U.S. Currency

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2016)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9978))

Abstract

As internationally traded commodities typically depend on the value of US dollar, this paper especially focuses on the most traded commodities, gold and crude oil, and tries to examine the dependence structures between these variables and the US currency. We employ various types of copulas i.e. the multivariate copula, vine copula, and the Markov switching copula and examine for the best-fit copula functions to model the dependency. Evidence from this study shows that gold and oil prices follow an inverse relationship with the value of US dollar but the relationship between gold and oil itself is strongly positive. However, the pair copulas given condition by another variable results in some attractive correlations.

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Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Pathairat Pastpipatkul, Paravee Maneejuk & Songsak Sriboonchitt

Authors
  1. Pathairat Pastpipatkul
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  2. Paravee Maneejuk
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  3. Songsak Sriboonchitt
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Corresponding author

Correspondence to Pathairat Pastpipatkul .

Editor information

Editors and Affiliations

  1. Japan Advanced Institute of Science and Technology, Nomi, Ishikawa, Japan

    Van-Nam Huynh

  2. Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka, Japan

    Masahiro Inuiguchi

  3. University of Science, Ho Chi Minh City, Vietnam

    Bac Le

  4. Duy Tan University, Da Nang, Vietnam

    Bao Nguyen Le

  5. Université de Technologie de Compiègne , Compiègne, France

    Thierry Denoeux

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Pastpipatkul, P., Maneejuk, P., Sriboonchitt, S. (2016). The Best Copula Modeling of Dependence Structure Among Gold, Oil Prices, and U.S. Currency. In: Huynh, VN., Inuiguchi, M., Le, B., Le, B., Denoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2016. Lecture Notes in Computer Science(), vol 9978. Springer, Cham. https://doi.org/10.1007/978-3-319-49046-5_42

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  • DOI: https://doi.org/10.1007/978-3-319-49046-5_42

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-49045-8

  • Online ISBN: 978-3-319-49046-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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