A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets
Lanouar Charfeddine and
Journal of Multinational Financial Management, 2016, vol. 37-38, pages 168-189
This paper examines the time-varying conditional dependency between commodity markets and stock markets by applying the rolling-sample technique on the dependence parameter of copula. The dataset consists of the closing prices of twelve commodities and the SP500, CAC40, DAX30 and FTSE100 indices during the period from July 7, 1992 to February 17, 2015. To date precisely the breakpoints in the dynamics of the copula parameter of dependence, we employ Bai and Perron’s (BP, 1998, 2003) structural break-testing procedure.
Keywords: Time varying dependence; Copula; Breaks; Commodity; Stock market (search for similar items in EconPapers)
JEL-codes: C58 G01 G15 Q02 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189
Access Statistics for this article
Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth
More articles in Journal of Multinational Financial Management from Elsevier
Series data maintained by Dana Niculescu ().