In this study, we examine the average and extreme dependence between Exchange Traded Funds ETFs (both energy & commodity) and WTI crude oil prices by using EGARCH-copula models. We use both static (Normal, Student-t, Gumbel and Clayton) and time-varying (Normal and SJC) copulas to explore both average and extreme dependence. Based on the Akaike information criterion (AIC), our results show that time-varying copulas outperform the static copulas. Further, we have found strong enough positive correlations of energy and commodity ETFs with oil prices to suggest that they could be used as a tool for managing oil price risk. Also, contrasting results of time-varying copulas with each other provide useful information regarding the hedge or safe-haven properties of energy and commodity ETFs.

在这项研究中，我们使用EGARCH-copula模型研究了交易所交易基金ETF（能源和商品）与WTI原油价格之间的平均和极端依赖性。我们同时使用静态（正常，学生t，Gumbel和Clayton）和时变（正常和SJC）copula来研究平均和极端依赖。基于Akaike信息准则（AIC），我们的结果表明，时变的copulas优于静态copulas。此外，我们发现能源和商品ETF与石油价格之间具有足够强的正相关性，表明它们可以用作管理石油价格风险的工具。同样，时变copula彼此之间的对比结果提供了有关能源和商品ETF的对冲或避险属性的有用信息。