Extreme dependence under uncertainty : an application to stock, currency and oil markets
International review of finance, 2017, Vol.17, No. 1, pp. 155-162
BEKIROS, Stelios D., UDDIN, Gazi Salah, Extreme dependence under uncertainty : an application to stock, currency and oil markets, International review of finance, 2017, Vol.17, No. 1, pp. 155-162 - https://hdl.handle.net/1814/44654
Retrieved from Cadmus, EUI Research Repository
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
Cadmus permanent link: https://hdl.handle.net/1814/44654
Full-text via DOI: 10.1111/irfi.12095
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