Ning, Cathy; Xu, Dinghai; Wirjanto, Tony - Department of Economics, University of Waterloo - 2010
Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula-based semi-parametric univariate time-series models...
