DYNAMIC CONDITIONAL DEPENDENCE BETWEEN COMMODITIES, CRYPTOCURRENCY AND GREEN STOCK INDICES: A VINE COPULA–GARCH-EVT APPROACH
DOI:
https://doi.org/10.18623/rvd.v23.5543Keywords:
Bitcoin, Gold, Oil Price, Green Stock Indices, Vine Copula, GARCH, Extreme Value TheoryAbstract
This study examines the dynamic conditional dependence between oil, Bitcoin, gold, and green stock indices using an integrated Vine Copula–GARCH–EVT framework. Understanding these relationships is essential for effective risk management and sustainable portfolio diversification in increasingly interconnected financial markets. The proposed approach combines GARCH models to capture volatility dynamics, Extreme Value Theory (EVT) to model extreme risks, and Vine copulas to represent complex nonlinear dependence structures between assets. Using daily data from January 2020 to April 2024, the empirical results reveal significant asymmetric and nonlinear dependencies across the examined markets. In particular, strong upper-tail dependence is detected between oil and several financial assets, suggesting that extreme oil price movements can significantly influence financial markets. In contrast, gold exhibits relatively weak dependence with most assets, confirming its role as a traditional safe-haven asset. Bitcoin displays mixed diversification properties depending on market conditions. These findings highlight the importance of considering nonlinear dependence and extreme risks when constructing diversified portfolios that include commodities, cryptocurrencies, and sustainable financial assets.
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