Copula approach is still followed , I believe. While some are measuring financial contagion  with extreme coexceedances.

thank you, what do you think of correlation analysis as being the major model used in the literature ? and it is still used.

Yes dynamic conditional correlation model is still used.

thank you for your answer, may i contact you for further information in the furure?

Hi

I think it is more appropriate using Transfer Function Noise Models in particular the Impulse response Functions, you can get these issues in any graduate level Time Series Textbooks. Also you may find use full looking at a paper I authored titled: The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries, published in International Review of Applied Financial Issues and Economics, Vol.3, No.2, pp.266-281, 2011.

Goodluck

thank you for ypur answer. is this paper available online?