Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

The bitter experience of the subprime crisis of 2007, the Global Financial crisis of 2008, and the extremely slow and painful ensuing recovery, has raised systemic risk to the center stage of global economic discourses. The crisis has brought home the urgent need for a thorough assessment of the...

International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that copula correlations have...

We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...

Previous research focuses on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, available dynamic models are not easily applied for high-dimensional problems due to the curse of dimensionality. In this paper, we extend...

We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...

This paper proposes a new approach to measure the dependence in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes inside the dependence structure. Recently, two methods using copulas have been...