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A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets

Lanouar Charfeddine () and Noureddine Benlagha

Journal of Multinational Financial Management, 2016, vol. 37-38, 168-189

Abstract: 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)
Date: 2016
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Handle: RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189