Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe

Abstract

In this study the main endeavor is to model dependence structure  between crude oil prices of West Texas Intermediate (WTI) and Brent - Europe.  The main activity is on concentrating copula technique which is powerful technique in modeling dependence structures.  Beside several well known Archimedean copulas, three new Archimedean families are used which have recently presented to the literature. Moreover, convex combination of these copulas also  are investigated on modeling of the mentioned dependence structure. Modeling process is relied on 318 data  which are average of the monthly prices from Jun-1992 to Oct-2018.