  This paper proposes a novel asymmetric copula based upon bivariate split
normal distribution. This copula can change correlation signs of its upper and
lower tails of distribution independently. As an application, it is shown by
the rolling maximum likelihood estimation that the EU periphery countries
changed sign of the lower tail correlation coefficient from negative to
positive after the sovereign debt crisis started. In contrast, Germany had
negative stock-bond correlation before and after the crisis.
