A copula approach on the dynamics of statistical dependencies in the US stock market

► We perform a large-scale empirical study of copulas on US stock market. ► Copulae describe statistical dependencies much more precisely than correlation coefficients. ► We compare the empirical copula to the Gaussian copula, which is implied by the usage of many correlation coefficients. ► Much of the statistical dependencies originate in the tails of the marginal distributions. ► We compare the market's average correlation level to the error of the Gaussian copula.