A new time-varying optimal copula model identifying the dependence across markets

An economic evaluation of stock–bond return comovements with copula-based GARCH models

(2014) Chih-Chiang Wu et al.   QUANTITATIVE FINANCE

Short-term and long-term dependencies of the S&P 500 index and commodity prices

(2013) Michael Graham et al.   QUANTITATIVE FINANCE

A Survey on Time-Varying Copulas: Specification, Simulations, and Application

(2012) Hans Manner et al.   Econometric Reviews

A review of copula models for economic time series

(2012) Andrew J. Patton   JOURNAL OF MULTIVARIATE ANALYSIS

How does oil price volatility affect non-energy commodity markets?

(2011) Qiang Ji et al.   APPLIED ENERGY

System analysis approach for the identification of factors driving crude oil prices

(2011) Qiang Ji   COMPUTERS & INDUSTRIAL ENGINEERING

Measuring large comovements in financial markets

(2011) Jeremy Penzer et al.   QUANTITATIVE FINANCE

Efficient estimation of a semiparametric dynamic copula model

(2010) Christian M. Hafner et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Inhomogeneous Dependence Modeling with Time-Varying Copulae

(2009) Enzo Giacomini et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Change analysis of a dynamic copula for measuring dependence in multivariate financial data

(2009) D. Guégan et al.   QUANTITATIVE FINANCE