The dependence between the financial market and the commodity market: a copula approach.

Summary This PhD thesis is composed of three chapters, one article and two papers and is mainly related to the field of empirical financial econometrics. It analyzes the dependence and the link between the financial markets and the commodity markets, in particular the energy market. The distributions and correlations of the variables belonging to both markets are studied in order to determine their effects on each other and to analyze their trends to give a better insight into their behavior with respect to crises and abrupt events in the economy. These variables are represented by some financial indices (SP500, Euro stoxx 50, Msci China) as well as by the main commodity indices (SP GSCI, Brent Oil, Natural Gas, Precious Metals). We choose to model their correlation over time and to take into account the non-linearity and instability that can affect them. For this purpose, the copula function approach has been used to model their distributions in an efficient way. In the first chapter, we examine the dependence and co-movements between carbon dioxide emission prices and energy indices such as coal, natural gas, Brent oil and the global energy index. The second chapter analyzes the interactions and relationships between the oil market and two major financial markets in Europe and the United States represented by the Euro stoxx 50 and the SP500. The last chapter analyzes the multivariate dependence between commodity indices of different sectors with financial indices using the Regular Vine copula model.