Vine copula approach for modelling dependence of commodity and stock markets

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dc.contributor.authorKarakas, Ayse Metin
dc.contributor.authorDemir, Aslihan
dc.contributor.authorCalik, Sinan
dc.date.accessioned2026-08-12T17:01:36Z
dc.date.issued2022
dc.departmentFırat Üniversitesi
dc.description.abstractThis paper examines vine copula dependency between commodity markets and stock markets [ISE 30 (Turkey Stock Index), SP 500 (American Stock Index and FTSE 100 (United Kingdom Stock Index)] by applying the dependence parameter of copula. The dataset consists of the closing prices of seven commodities and the ISE 30, SP500 and FTSE 100 indices In this study, to reveal this dependency structure we used copula families; Gauusian, Student t, Gimbel, Joe, BB6, BB8, Survival Clayton, Survival BB1 and Tawn Type copula.
dc.identifier.doi10.1080/09720510.2021.1877904
dc.identifier.endpage21
dc.identifier.issn0972-0510
dc.identifier.issn2169-0014
dc.identifier.issue1
dc.identifier.startpage1
dc.identifier.urihttps://doi.org/10.1080/09720510.2021.1877904
dc.identifier.urihttps://hdl.handle.net/11508/47783
dc.identifier.volume25
dc.identifier.wosWOS:000658709300001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.language.isoen
dc.publisherTaylor & Francis Ltd
dc.relation.ispartofJournal of Statistics and Management Systems
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WoS_20260511
dc.subjectCopula
dc.subjectVine copula
dc.subjectKendall tau
dc.subjectSpearman rho
dc.titleVine copula approach for modelling dependence of commodity and stock markets
dc.typeArticle

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