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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-based semi-parametric univariate time-series models...
Persistent link: https://www.econbiz.de/10008549325
selected tools from the theory of copulas. We examine both the static and dynamic dependence via unconditional and conditional … copulas. We find significant asymmetric tail dependence in equity markets, with the overall larger lower tail dependence than …This paper investigates the structure and degree of extreme dependence in international equity markets using carefully …
Persistent link: https://www.econbiz.de/10008549326