A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets

Our empirical findings show that among the seven copulas investigated, the Student's t-copula is more appropriate for modelling dependency. Moreover, the BP procedure shows strong evidence of time-varying behaviour in the parameter of dependence. The results show that the dates of breaks correspond to economic and financial events, such as the global financial crisis and crude oilprice fluctuations.