suggests the usefulness of Regular Vine Copulas in analyzing dependence structures of a number of financial time series. … conducted by means of Regular Vine Copulas. The application of these copulas allowed us to identify the pairwise structure of … the dependence of subindexes under study. The results confirm the leading role of the banking sector in the Polish economy …

This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies … is linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in …

.e. the time series under study do not exhibit common long-run dependence. The analyzed time series are not driven by a common … companies from these markets. The mixtures of rotated copulas and Kendall correlation coefficient allowed the checking of … extreme return-volume dependence structures. The empirical results reflect significant dependencies between high volatility …

By applying copulas the examination was carried out to find out whether trading volume, stock return and return …

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume … describe the dependence of specific unevenly spaced time series. The properties of the time series of price durations and … trading volume associated with this duration exhibit dependence in the tails of distribution. We may conclude that high …