This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …

Copula-based models provide a great deal of flexibility in modeling multivariate
distributions, allowing the researcher to specify the models for the marginal distributions …

The link between energy and agricultural markets have been studied extensively in the last
two decades. Nonetheless, the literature fails to consider the effects of geopolitical risks …

This article presents flexible new models for the dependence structure, or copula, of
economic variables based on a latent factor structure. The proposed models are particularly …

This paper studies the extreme dependencies among energy, agriculture and metal
commodities markets, with an emphasis on local co-movements. By applying a novel …

The linear relationships between energy prices and prices for agricultural commodities such
as corn and soybeans may have been affected, over the last several years, by policy …

This study examines the characteristics of the risk spillover under extreme market scenarios
between the US stock market and precious metals (gold, silver, platinum) and oil using a …

This study examines the dependence and contagion risk between Bitcoin (BTC), Litecoin
(LTC) and Ripple (XRP) using non-parametric mixture copulas (developed by Zimmer …

Copulas are functions that describe the dependence between two or more random
variables. This article provides a brief review of copula theory and two areas of economics in …

This paper investigates dependence between tourism demand and exchange rate, using the
case of China, and from a new perspective by using copula–GARCH models. The empirical …