This paper applies the distinct copula model specifications with time-invariant and time-varying dependence structures …

pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis …

In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through … structure. BB1, BB7, BB8, Frank and Joe copulas also fit into some relationships. Regarding dependence, tail measures obtain … relevant values in most relationships. Lower tail dependence exceeds absolute, measured by Kendall's Tau, and upper tail in …