- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019 …

markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are … modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function … estimated by a semi-parametric method. We found that the timevarying normal copula yields the best fit for CROBEX-CAC40, CROBEX …