Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for such models. We use these tests to determine whether the multivariate Normal or the Student’s t copula ...

We use a semiparametric GARCH-in-Mean copula model to examine the price evolution and volatility dynamics of crude oil, natural gas, hydrocarbon gas liquids markets using data from January 2002 December 2021. find that uncertainty has positive statistically significant effect on returns oil but negative ethane returns. also Frank is best describe (bivariate) dependence structures between market...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for such models. We use these tests to determine whether the multivariate Normal or the Student’s t copula ...

This paper deals with the analysis of temporal dependence in multivariate time series. The dependence structure between the marginal series is modelled through the use of copulas which, unlike the correlation matrix, give a complete description of the joint distribution. The parameters of the copula function vary through time following certain evolution equations depending on their previous val...