Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index. Through the static analysis, it is found
A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using a martingale transformation of a
An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent
A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using a martingale transformation of a
Abstract of associated article: This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, g