This paper investigates the dynamic dependence between crude oil prices and stock
markets in ten countries across the Asia-Pacific region during the period from January 4 …

Common negative extreme variations in returns are prevalent in international equity
markets. This has been widely documented with statistical tools such as exceedance …

It has been shown that vine copulas constructed from bivariate t copulas can provide good
fits to multivariate financial asset return data. However, there might be stronger tail …

Progress on asymmetric correlations of asset returns has recently advanced considerably.
Asymmetric correlations can cause problems in hedging effectiveness and overstate the …

In this paper, we seek to examine the effect of the presence of long memory on the
dependence structure between financial returns and on portfolio optimization. First, we focus …

This article investigates the conditional value at risk (CVaR) of two portfolio optimiza-tion
approaches containing assets from the financial and crypto markets. We first catch the …

This paper employed dynamic copulas and Extreme Value Theory (EVT) to analyze the
linkages between oil and the stock market of countries with the highest number of COVID-19 …

The 4 equity market factors from Fama and French (1993) and Carhart (1997) are pervasive
in academia and practice. However, not much is known about their joint distribution and …

This study employs the extreme value theory (EVT) and stochastic copulas to investigate the
dependence structure between the Chinese stock market and other major stock markets …

A correlation analysis of pollutant variables provides comprehensive information on
dependency behaviour and is thus useful in relating the risk and consequences of pollution …