We study the conditional dependence structure between crude oil prices and US dollar
exchange rates using a copula-GARCH approach. Various copula functions of the elliptical …

We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using
copulas to construct multivariate distributions of time-series data permit the calculation of the …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …

In this paper, we apply time-varying copulas to investigate whether a contagion effect
existed between energy and stock markets during the recent financial crisis. Using the WTI …

We employ the time-varying copula approach to investigate the conditional dependence
between the Brent crude oil price and stock markets in the Central and Eastern European …

This paper investigates the dynamic causal linkages among US equity and commodity
futures markets via the utilization of complex network theory. We make use of rolling …

We investigate the potential of structural changes and long memory (LM) properties in
returns and volatility of the four major precious metal commodities traded on the COMEX …

This article systematically reviews the academic literature on emerging market contagion in
order to summarize what we have learnt about the transmission channels existing in these …

This article introduces a new model to analyze financial contagion based on a modified
coexceedance measure. We use the quantile regression framework to examine the …

We apply extreme value analysis to US sectoral stock indices in order to assess whether tail
risk measures like value‐at‐risk and extremal linkages were significantly altered by 9/11. We …