Abstract
This paper examines vine copula dependency between commodity markets and stock markets [ISE 30 (Turkey Stock Index), SP 500 (American Stock Index and FTSE 100 (United Kingdom Stock Index)] by applying the dependence parameter of copula. The dataset consists of the closing prices of seven commodities and the ISE 30, SP500 and FTSE 100 indices In this study, to reveal this dependency structure we used copula families; Gauusian, Student t, Gumbel, Joe, BB6, BB8, Survival Clayton, Survival BB1 and Tawn Type copula.
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