Measuring contagion between energy market and stock market during financial crisis: A copula approach

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The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, methodology): “Wen and Wei used a time-varying copula correlation model to measure the contagion relationship between the energy (oil) market and the stock market during the economic crisis [36].”
Extreme risk spillovers between crude oil and stock markets (2015, background): “The sample period covers the last worldwide financial crisis which is generally thought to erupt on September 15, 2008 when Lehman Brothers filed for Chapter 11 protection (Wen et al., 2012).”
Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2014, background): “…Ciner (2001), Cuñado and Pérez de Gracia (2003), El-Sharif et al. (2005), Hammoudeh et al.(2004), Jones and Kaul (2012), Maghyereh (2004), Maghyereh and Al-Kandari (2007), Naifar and Al Dohaiman (2013), Narayan and Narayan (2010), Nguyen and Bhatti (2012), Park and Ratti (2008), Wen et al.(2012).”