market index (represented by the Dow Jones Islamic Market Index) exhibits significant dependence with three major global … dependence varies over time for all cases except the S&P 500 index and is also asymmetric between bear and bull markets in some …

We examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets … in China. We address this issue by using copula functions that allow for measuring both average and tail dependence. Our …

dependence structure between the crude oil and natural gas markets as well as to derive implications for portfolio risk … evidence of asymmetric dependence between the two markets. The crude oil and gas markets tend to comove closely together during …

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 …

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 …

, and are best described by the Survival Gumbel copulas. The empirical evidence also suggests that the lower tail dependence …We employ the time-varying copula approach to investigate the conditional dependence between the Brent crude oil price … dependence between the oil and the stock markets of the six CEE countries, which is indicative of a contagion between those …