Science and Education Publishing International Journal of Econometrics and Financial Management 2374-2038 3 2 2015 01 21 Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value Copula Methods 64 75 EN Zayneb Attaf Faculty of Economics and Management sciences, University of Sfax, Tunisia Ahmed Ghorbel Younes Boujelbène IJEFM2015323 10.12691/ijefm-3-2-3 2014 12 26 2015 01 16 2015 01 21 In this work, our objective is to study the intensity of dependence between six non-energy commodity sectors in a bivariate context. Our methodology is to chose, in a first step, the appropriate copula flowing Akaike criteria. In a second step, we aim to calculate the dependence coefficients (Kendall's tau, Spearman's rho and tail dependence) using filtered data by the AR(1)-GARCH(1.1) model to study the dependence between the extreme events. Empirical results show that dependence between non-energy commodity markets increases during volatile periods but they offer many opportunities to investors to diversify their portfolio and reduce their degree of risk aversion in bearish market periods.