This paper studies the contemporaneous relationship between S&P 500 index returns and log-increments of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies...

This study contributes a rich set of quantitative methodologies including a non-parametric approach (Chi-plots and K-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of determining the dependence structure in ASEAN stock...