Typically correlation is used to measure this dependency which implies a multi-variate Gaussian world. In addition, the bigger the fall the more likely it is that other markets will also suffer big falls.
Any alternative approaches to dependency are to be welcomed.
That said, I think there is still a lot of work to be done before copulas become more widely used. I am interested in any solutions to this. There are sizeSample rows in the data.frame . This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail.