  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.
