The uncertainty of a country's economy, especially emerging economies, is partially due to the fluctuating of oil prices. There is also a growing concern about the relationship between oil price and stock markets in developing countries due to their heavy dependence on oil prices co-movements....

Tail dependence plays an important role in financial risk management and determination of whether two markets crash or boom together. However, the linear correlation is unable to capture the dependence structure among financial data. Moreover, given the reality of fat-tail or skewed distribution...