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

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

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence …

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 …