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This paper examines the dependence structure between oil futures with other major commodities including gold, copper, zinc, aluminium, rubber, corn, cotton and sugar in China. To this end, we apply the extreme value theory (EVT) and dynamic copula approach, which allows for measuring both average and tail dependence. Contrary to the findings in the literature on stock markets, this paper reveals significant right tail dependence rather than left tail dependence between oil futures and most of the other eight commodities. These findings provide a new insight regarding the behaviour of oil and other major commodities. This paper thus has some significant implications for investors, risk managers and policymakers. [ABSTRACT FROM AUTHOR]

The volume of trading activity relating to China's commodity futures has grown rapidly over the course of the last decade. To improve risk management in China's commodity futures markets, this paper employs a regular vine (R‐vine) copula model to study the dependence structure of commodity futures and to enhance Value‐at‐Risk (VaR) forecast. In doing so, we find that China's commodity futures market is not centred on one category of commodity futures and the tail dependence between different categories of commodity futures varies significantly. Based on the dependence structure analysed using the R‐vine copula model, we forecast the VaR of individual indices, which are formed of several commodity futures, as well as forecasting the VaR of an equally‐weighted portfolio. Our method can outperform the standard GARCH‐VaR method in terms of VaR backtesting. The tool developed within this study will enable those involved in commodity futures markets to improve their risk management. [ABSTRACT FROM AUTHOR]

Multivariate hydrological series become nonstationary under the changing environment. In this paper, a new method is proposed to study the change in the dependence structure between runoff and sediment sequences. First, a moving cut transfer entropy is proposed to detect the sudden change point in the dependence structure between runoff and sediment. Then, the Gumbel copula with a new parameter estimation method (MEE) is employed to construct the dependence structure of runoff and sediment before or after the change point for situation with small samples. The new method is applied to the annual runoff and sediment discharge series in Xiliugou River, China. It is found that the dependence structure between runoff and sediment changed abruptly in 2000. The joint probabilistic characteristics of the annual runoff and sediment discharge during the period of 1960–1999 are built based on the values of RMSEs and AICs. The joint distribution of the annual runoff and sediment discharge during the period of 2000–2016 is constructed by the Gumbel copula with MEE. Moreover, the synchronous encounter probability of runoff and sediment decreases from 0.76 to 0.63, and the asynchronous encounter probability rises from 0.24 to 0.37, after the runoff and sediment discharge series presents a significant change in the dependence structure. [ABSTRACT FROM AUTHOR]

The hydrologic data series are nonstationary due to climate change and local anthropogenic activities. The existing nonstationary design flood estimation methods usually focus on the statistical nonstationarity of the flow data series in the catchment, which neglect the hydraulic approach, such as reservoir flood regulation. In this paper, a novel approach to comprehensively consider the driving factors of non-stationarities in design flood estimation is proposed, which involves three main steps: (1) implementation of the candidate predictors with trend tests and change point detection for preliminary analysis; (2) application of the nonstationary flood frequency analysis with the principle of Equivalent Reliability (ER) for design flood volumes; (3) development of a nonstationary most likely regional composition (NS-MLRC) method, and the estimation of a design flood hydrograph at downstream cascade reservoirs. The proposed framework is applied to the cascade reservoirs in the Han River, China. The results imply that: (1) the NS-MLRC method provides a much better explanation for the nonstationary spatial correlation of the flood events in Han River basin, and the multiple nonstationary driving forces can be precisely quantified by the proposed design flood estimation framework; (2) the impacts of climate change and population growth are long-lasting processes with significant risk of flood events compared with stationary distribution conditions; and (3) the swift effects of cascade reservoirs are reflected in design flood hydrographs with lower peaks and lesser volumes. This study can provide a more integrated template for downstream flood risk management under the impact of climate change and human activities. [ABSTRACT FROM AUTHOR]

This paper makes an empirical research on price bubble among real estate industry chain. The approaches we adopt are BSADF and R-Vine copula model. Our result shows that most serious bubble occurred in the period from 2006 to 2007. Real estate industry shows the greatest price bubble and plays important central connection role in the industry chain. [ABSTRACT FROM AUTHOR]

Green bond is a relatively new fixed-income financial instrument created to fund sustainable development projects. Since green and conventional bonds can both bring benefits to investors and given that China has become an important but unique green bond market, it is of great significance to explore the relationship between Chinese green and conventional bond markets. Using the monthly data from 2010 to 2019, we investigate the dependence structure between Chinese green bond market and five conventional bond markets, namely treasury, interbank, financial, high-yield corporate, and enterprise bond markets. The dependence structure is investigated using Gumbel Rotated Gumbel (GRG) copula with Markov-switching that allows for a more thorough analysis. The dependence under extreme market conditions is analyzed using tail dependence coefficients, whereas the dependence under normal market conditions is examined using quantile-based dependence measures. The results show that although the green bond market is positively correlated with all the five conventional bond markets, the degree of positive dependence differs under extreme and normal market conditions. [ABSTRACT FROM AUTHOR]

In the existing agricultural water management models under uncertainty, the mutual-correlation and their self-correlation of random variables (like precipitation (P), runoff (R), reference evapotranspiration (ET0), etc.) are often ignored. When expressing the fuzziness of socio-economic factors, fuzzy membership function is usually determined by the experience of decision-makers, which often brings some confusions. To solve the above questions, first, C-vine copula is introduced in this study to depict the multiple interdependence structures. Two kinds of three-dimensional copulas is constructed: CV 1 (R t , P t , R t - 1) and CV 2 (ET 0 t , P t , ET 0 (t - 1)) , where t is at t-th month. Second, the cloud model, as a novel qualitative and quantitative transformation model, is chosen to describe the uncertainty of crop prices. Combining these two uncertainty-expressing methods, an agricultural water resources optimization model is built to gain maximum net benefit by allocating limited surface water and groundwater. Then this model was applied to a case study in northwestern China. Results show that the developed model could provide the decision-makers with not only the best or the optimum range of system net benefits but also the probability of obtaining a given benefit under complex uncertainties. For comparison, the ordinary models without consideration of dependence of variables as an independent were also built. When overlooking the mutual-correlation and self-correlation, the optimal water allocation and system net benefits would be higher in dry years with total water allocation higher by 4.5%. This unreasonable allocation results may cause excessive agricultural irrigation to squeeze water for other industries in dry years, which would exacerbate water shortages. The discussion and comparison results prove the necessity and effectiveness of this research. [ABSTRACT FROM AUTHOR]

Purpose: Based on structural embeddedness theory and resource dependence theory, this research aims to examine the mediation role of information sharing in the relationship between deendency structures and electronic supply chain management system (eSCM) adoption and a firm's intention to adopt eSCMs. Design/methodology/approach: A survey questionnaire was undertaken from 212 companies based in Mainland China. Three-stage least squares (3SLS) regression was employed to test the research model. Findings: The results from 3SLS regressions showed that the effect of interdependence on eSCM adoption intention is fully mediated through information sharing when relationship duration is either below or about the mean. Interdependence and dependence disadvantage was shown to have significant positive effects on eSCM adoption while the effect of dependence advantage was statistically insignificant. Relationship duration was found to negatively moderate the relationship between information sharing and adoption intention. Originality/value: Through investigating factors of inter-organizational relationships, this study fills the knowledge gap in the traditional paradigms which ignore the collaborative nature of eSCM and analyse related problems based on a single firm's point of view. [ABSTRACT FROM AUTHOR]

To investigate changes in the dependence structure between China's stock market and other important international stock markets as a result of the 2008 global financial crisis, the ARMA-GARCH skewed-t Vine Copula method is used and an empirical study is undertaken using daily closing prices for seven key international stock markets from 4 January 2002 to 29 December 2017. The results indicate that the CAC and the HSI are the key indices connecting all the other indices in Europe and Asia, respectively. In addition, the financial crisis resulted in significant changes to the dependence structure, and the FTSE has gradually become more important in connecting European stock markets with Asian markets. Moreover, Tree 2 of the Vine Copula shows that the entire high-dimensional dependence structure has been modified by the crisis, and the indices are now more correlated than they were before the crisis. [ABSTRACT FROM AUTHOR]

This article investigates the dependence structure between China's emissions allowances and energy (coal, oil, and natural gas) markets using autoregressive conditional heteroskedasticity (GARCH) and mixed Copula functions. The dependence structures between China's eight emissions allowances and energy markets demonstrate significant regional heterogeneity; an increase (decrease) in coal, crude oil, and natural gas prices induces an increase (decrease) in eight regional emissions allowance prices and confirms regional divergence and market heterogeneity. The Beijing, Guangdong, Hubei, and Chongqing emissions allowances and coal markets demonstrate significant left-tail dependence structures, while the Shanghai, Tianjin, Shenzhen, and Fujian emissions allowances and coal markets demonstrate complex mixed dependence structures. Seven of China's emissions allowances and crude oil markets confirm the existence of complex asymmetric dependence structures, except for the symmetric dependence structure between the Fujian emissions allowances and crude oil markets. However, eight of China's emissions allowances and natural gas markets demonstrate complex asymmetric dependence structures. [ABSTRACT FROM AUTHOR]

To qualify niche space and niche overlap, the current methods are based on a strict assumption of the normal distribution and restrict dependence to the linear structure between resource axes. In this study, we propose a new method for measuring the stoichiometric niche space and niche overlap based on copula theory. Our method does not require the resource axes to obey the multivariate normal distribution and only assumes that each dimension of resource availability follows a one-dimensional normal distribution. Based on the dependence structure presented by the three resource axes, an appropriate copula is selected to couple the normal assumptions and thus determine a joint distribution that fits the carbon, nitrogen and phosphorus concentration data. Additional simulation studies were conducted to calculate niche space and niche overlap. We applied our method to qualify the stoichiometric niche space and niche overlap between seven grassland plants in Inner Mongolia, North China. Our results demonstrate that, except for a positive correlation, symmetrical tail correlations existed between nitrogen and phosphorus concentrations, which had a significant influence on the shape of the niche space. The new method presented in our work extends types of joint distribution fitting resource axes from a multivariate normal distribution to an arbitrary joint distribution determined by copulas and normal margins, and it has the advantage of describing the complex dependence between resource axes. [ABSTRACT FROM AUTHOR]

In this article, the authors intend to investigate the cross-strait economic integration and the dependence of stock markets between Mainland China and Taiwan. The authors first identify a sequence of important events that have loosened policy restrictions on transportation, commerce, and communication between mainland China and Taiwan. The authors employ various dependence functions to examine the degrees of dependence with symmetric and asymmetric structures to estimate the effects of economic integration on the tail dependence for the major industries. The authors find the market and industrial dependence has significantly increased as well as the market index due to the tendency of the cross-strait economic integration. [ABSTRACT FROM PUBLISHER]