This study examines long-run relationships and short-run dynamic causal linkages among the U.S., Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis,...

We construct twelve marginal--copula combinations using three marginal distributions (normal, <italic>t</italic> and <italic>S_U </italic>-normal) and four types of copulas (normal, skewed normal, <italic>t</italic> and skewed <italic>t</italic>). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value...