dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk … evi- dence of asymmetric dependence between the two markets. The crude oil and gas markets tend to co-move closely …

We study the conditional dependence structure between crude oil prices and U.S. dollar exchange rates using a copula … dependence structure in both bearish and bullish market periods. Over the period from January 2000 to February 2011, we …nd … evidence of signi…cant and symmetric dependence for almost all the oil-exchange rate pairs considered. The rise in the price of …

In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and … functions that allow for measuring both average and tail dependence. Our results provide evidence of small and positive …

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United … an extreme-value based model while the joint distribution is explored using time-varying Normal and SJC copulas. The … empirical results show that the dynamic dependence between American and Japanese stock markets is symmetric while that between …

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United … an extreme-value based model while the joint distribution is explored using time-varying Normal and SJC copulas. The … empirical results show that the dynamic dependence between American and Japanese stock markets is symmetric while that between …