fundamental characteristic. We compare our empirical findings with a single Gaussian copula, a correlation-weighted average of … Gaussian copulas, the K-copula which directly addresses the nonstationarity of dependencies as a model parameter, and the … skewed Student's t-copula. The K-copula covers the empirical dependence structure on the local scale most adequately, whereas …

/methodology/approach - The copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market … pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models …