Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching-copula-extreme value theory (MRS-copula-EVT) model to quantitatively investigate financial contagion and its characteristics between these two markets. The proposed model,...

The past twelve years were punctuated by increasingly complex dynamics of the cross-market interdependence and two ``once-in-100-year'' global financial crises, including the 2020 financial contagion through increased physical contagion during the COVID-19 pandemic. This paper develops a...