Extreme dependence under uncertainty : an application to stock, currency and oil markets
Title: Extreme dependence under uncertainty : an application to stock, currency and oil markets
Citation: International review of finance, 2017, Vol.17, No. 1, pp. 155-162
We explore the impact of uncertainty on financial markets in the aftermath of the global financial crisis. In particular, we investigate the temporal dynamics of the dependence structure of stock, currency and oil markets in the United States using a nonparametric copula approach. Policy uncertainty is modeled via the EPU index of Baker et al. (2013). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty.
First published online: 15 August 2016
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