Aloui, Riadh; Gupta, Rangan; Miller, Stephen M. - Department of Economics, Faculty of Economic and … - 2015
We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct … multivariate distributions of time-series data permit the calculation of the dependence structure between the series independently … periods of time. That is, we find a positive dependence prior to and into the financial crisis and Great Recession …