)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …

Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable …, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We … hypothesis can be rejected for the dependence between pairs of commodities (metals). Notwithstanding the apparent qualification …