@article{article_1383940, title={Dynamic Dependence between Oil and Stock Markets: International Evidence with Stochastic Copula Approach}, journal={Afyon Kocatepe Üniversitesi Fen Ve Mühendislik Bilimleri Dergisi}, volume={24}, pages={811–818}, year={2024}, DOI={10.35414/akufemubid.1383940}, author={Yıldırım, Emre and Cengiz, Mehmet Ali}, keywords={Dependency, Stochastic Copula, Dynamic Modeling, Oil Price, International Stock Market}, abstract={Modeling the dependency structure between variables has recently received increasing attention in many disciplines, especially finance and economics. In this study, the dependence between oil prices and stock markets is investigated through the stochastic copula approach, which is a class of time-varying copulas. This model enables to capture whole dependency between variables dynamically. Unlike time-varying copulas, it takes into account the latent process as well as observations in modeling dependency and thus evaluates the dependency structure in a more comprehensive framework. Empirical findings suggest that dependency between oil and stock markets evolve over time. There is a symmetric dependence between oil and the UK stock market, but the relationship between oil and the US stock market is measured by upper tail dependence. This indicates that oil and the US stock market are more likely to move together during periods of market uptrend.}, number={4}, publisher={Afyon Kocatepe University}