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International Conference of the Thailand Econometrics Society

TES 2019: Structural Changes and their Econometric Modeling pp 451–462Cite as

Structural Breaks Dependence Analysis of Oil, Natural Gas, and Heating Oil: A Vine-Copula Approach

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Part of the book series: Studies in Computational Intelligence ((SCI,volume 808))

Abstract

In this study, we investigate the relationship between crude oil, heating oil and natural gas by applying a vine-copula-based GARCH model. Also, we consider the structural change in crude oil as it is found to be a root node in vine copula structure. Then, we separate the data into sub-periods and investigate the dependence structure in each sub-period using the break point approach. The result shows that there are four breaks at the following dates: 12/02/2009, 8/04/2011, 9/04/2014 and 11/02/2016. Overall, the degree of dependence varies over sub-periods where the dependence between crude oil, natural gas and heating oil is positive for almost all pairs. Interestingly, the dependence between crude oil and heating oil is positively strongest while the dependence between crude oil and natural gas is negative during the financial crisis sub-period.

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Acknowledgments

The authors are grateful to Puay Ungphakorn Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University for the financial support.

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Authors and Affiliations

  1. International College of Digital Innovation, Chiang Mai University, Chiang Mai, Thailand

    Nopasit Chakpitak & Payap Tarkhamtham

  2. Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Payap Tarkhamtham, Woraphon Yamaka & Songsak Sriboonchitta

Authors
  1. Nopasit Chakpitak
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  2. Payap Tarkhamtham
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  3. Woraphon Yamaka
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  4. Songsak Sriboonchitta
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Corresponding author

Correspondence to Payap Tarkhamtham .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

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

    Songsak Sriboonchitta

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Chakpitak, N., Tarkhamtham, P., Yamaka, W., Sriboonchitta, S. (2019). Structural Breaks Dependence Analysis of Oil, Natural Gas, and Heating Oil: A Vine-Copula Approach. In: Kreinovich, V., Sriboonchitta, S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Computational Intelligence, vol 808. Springer, Cham. https://doi.org/10.1007/978-3-030-04263-9_35

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