The oil market and stock market are the important part of modern economy,the relationship between these markets plays a key role in analyzing the fluctuation of price and risk transmission.This paper uses the vine copula model to research the dependence relationship among the oil price,Chinese stock price and American stock price,and then use the dependence relationship to manage risk.Different from the past research,the paper analyzes the dependence relationship among the oil price,Chinese stock price and American stock price from the viewpoint of the country and industry.The dynamic dependence relationship is investigated by time-varying copula methods.The main works of this paper are shown as follows.Firstly,the vine-copula model is used to model and analyze the dependence relationships and structures in different periods,construct the portfolio and estimate the portfolio risk.After that,the vine copula model is compared with traditional models in risk forecast.Secondly,the time-varying copula model and vine copula model are used to analyze the dynamic relationship among oil price,Chinese stock price and American stock price,and then the volatility spillover effect is used to explore the risk transmission among the three markets.At last,the vine copula model is used to estimate the dependence relationship of the oil price and ten industrial stock prices in China and American respectively.And then oil price and the industrial stock price that has stronger dependence relationship with oil price are selected to construct the portfolio and meantime measure the risk of portfolio.The research findings of this paper shows the dependence relationships of oil price,Chinese and American stock prices are variable in different periods and are different in industry.At the same time,this paper also uses dependence relationships to manage the risk and empirical results finds that the vine copula model can improve the risk prediction and analyze the risk transmission between different markets effectively. |