Ning, Cathy; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of Banking & Finance 52 (2015) C, pp. 62-76
Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric … pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel … volatilities constructed from high frequency data from stock and foreign exchange markets, we find evidence that volatility …
