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This study investigates the risk level in the oil market measured by Value-at-Risk (VaR) and conditional VaR (CoVaR), as well as the dynamic and asymmetric dependence between WTI returns and crude oil volatility index (OVX), by constructing six time-varying mixed copula models. Results show that mixed copula between t copula and the 270-degree rotated Clayton copula is the optimal fitting copula to...
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