This work examines how the dependence structures between energy futures asset prices differ in two periods identified before and after the 2008 global financial crisis. These two periods were characterised by a difference in the number of extraordinary meetings of OPEC countries organised to announce a change of oil production. In the period immediately following the global financial crisis, the decrease in oil prices and oil and gas demand forced OPEC countries to make frequent adjustments to the production of oil, while, since the first quarter of 2010, the recovery led to more regular meetings, with only three organised extraordinary meetings. We propose to use a copula model to study how the dependence structure among energy prices changed among the two periods. The use of copula models allows to introduce flexible and realistic models for the marginal time series; once marginal parameters are estimated, the estimates are used to fit several copula models for all asset combinations. Model selection techniques based on information criteria are implemented to choose the best models both for the univariate asset prices series and for the distribution of co-movements. The changes in the dependence structure of couple of assets are investigated through copula functionals and their uncertainty estimated through a bootstrapping method. We find the strength of dependence between asset combinations considerably differ between the two periods, showing a significant decrease for all the pairs of assets.

翻译：本研究探讨了2008年全球金融危机前后两个时期能源期货资产价格依赖结构的差异。这两个时期的特点是OPEC成员国为宣布石油产量变化而组织召开的特别会议次数不同。在金融危机后的短期内，油价下跌及油气需求下降迫使OPEC国家频繁调整石油产量；而自2010年第一季度起，经济复苏使得会议趋于常规化，期间仅组织了三次特别会议。我们采用Copula模型研究两个时期内能源价格依赖结构的变化。Copula模型能够为边际时间序列引入灵活且符合实际的建模方式：在估计边际参数后，利用这些参数为所有资产组合拟合多种Copula模型。通过基于信息准则的模型选择技术，分别筛选单变量资产价格序列及协同运动分布的最优模型。借助Copula泛函分析资产对依赖结构的变化，并采用自助法估计其不确定性。研究发现，两个时期内资产组合的依赖强度存在显著差异，所有资产对的依赖程度均大幅下降。