Using the concept of a copula, this paper shows how to estimate association across financial
markets, with a focus on the structure of dependence rather than the degree of dependence …

This paper studies the modelling and estimation of dependence across international
financial markets, with a focus on the structure of dependence. A new approach is proposed …

In this article, we use a time-varying conditional copula approach to model Chinese and US
stock markets' dependence structures with other financial markets. The Autoregressive …

The copula function defines the degree of dependence and the structure of dependence.
This paper proposes an alternative framework to decompose the dependence using …

Two important issues in the analysis of association among financial markets are the degree
of dependence and the underlying shape commanding the cross-market dependencies, so …

In this essay, we analyze the dependence structures of equity, bond and money markets in
Australia, the United States as well as the linkages between the two countries. The …

This paper proposes an approach based on copula families to determine shape and
magnitude of non-linear serial and cross-interdependence between returns and volatilities …

We apply a copula&GARCH approach to modeling the joint distribu& tion of excess returns
of four major assets: one year and ten year Treasury bonds and S&P 500 and Nasdaq …

Copula modeling has become an increasingly popular tool in finance to model assets
returns dependency. In essence, copulas enable us to extract the dependence structure …

We review models for construction of higher-dimensional dependence that have arisen
recent years. A multivariate data set, which exhibit complex patterns of dependence …