Ning, Cathy; Xu, Dinghai; Wirjanto, Tony - Department of Economics, Ryerson University - 2009
Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the … asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula … constructed from high frequency data, we find that volatility clustering is strongly asymmetric in the sense that clusters of …