Systemic risk in European sovereign debt markets: A CoVaR-copula approach

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Extreme dependence and risk spillovers between oil and Islamic stock markets (2017, background): “3 For more information, see Reboredo and Ugolini (2015).”
Quantile dependence of oil price movements and stock returns (2016, methodology): “Our proposed methodological approach is substantially different from that of Sim and Zhou (2015). To begin with, using copulas rather than quantile regression results in more modelling flexibility as copulas enable heterogeneity in characterizing marginal distributions and also account for specific ”