This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios fromthe Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...

We examine a recent innovation in the highly volatile and illiquid uranium market, The Global X Uranium Exchange-Traded Fund (URA), and its impact on the trading characteristics of constituent and non-constituent stocks. Over a three-month period, following the introduction of URA, we find...

A common method to study the dynamic behavior of macroeconomic variables is using linear time series models; however, they are unable to explain nonlinear behavior of the series. Given the dependency between stock market and derivatives, the behavior of the underlying asset price can be modeled...