vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted …

Financial Crisis. Using copula models on U.S. monthly data from 2003-2024, we quantify extreme co-movements and find asymmetric …

suggest vine copulas with Bayesian pair copula selection. This is a new methodology and after its discussion we offer an … normality, while the remaining residuals suggest skewed Student t-distributions as a plausible fit. A vine copula model was then … geographically exhibiting weak or no association. The validity of fitted distributions and resulting vine copula was checked using …

: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and …