arises, the debate is on. Derivatives especially, which are among the major innovations in the past thirty years, cause deep … concerns. In this paper, we propose a survey of the academic literature that has addressed the threats posed by derivatives. An … initial issue is the impact of derivatives on the volatility of the underlying assets, but empirical findings do not suggest …

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

centered Gaussian Process is obtained under weak assumptions on copula derivatives. …Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight …