Tong, Bin; Wu, Chongfeng; Zhou, Chunyang - In: Energy Economics 40 (2013) C, pp. 882-897
together. Using the asymmetric copulas, we find asymmetry in tail dependence between crude oil and heating oil returns and that … between crude oil and jet fuel returns. Interestingly, upper tail dependence is significantly greater than the lower tail … dependence for the pre-crisis period, while the result is reversed for the post-crisis period. Finally, although our data prefers …