Zhu, Hui-Ming; Li, Rong; Li, Sufang - In: International Review of Economics & Finance 29 (2014) C, pp. 208-223
This paper investigates the dynamic dependence between crude oil prices and stock markets in ten countries across the Asia-Pacific region during the period from January 4, 2000 to March 30, 2012 by using unconditional and conditional copula models. The model is implemented using an AR (p)-GARCH...