Christoffersen, Peter; Errunza, Vihang; Jacobs, Kris; … - In: Review of Financial Studies 25, 12, pp. 3711-3751
International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that correlations have increased...