series and the tail dependence in the shocks, by parameterizing the joint density by means of different copula functions. The … the bivariate ARFIMA with copula density specification to account for the common long memory pattern and tail dependence …. -- Realized Volatility ; Trading Volume ; Long memory ; Fractional Cointegration ; Copula Modeling …

This paper examines international equity market co-movements using time-varying copulae. We examine distributions from … Student-t assumption on marginals leads to the best performance, and thus, can be used to fit multivariate copula for the … joint distribution of equity index returns. We show in our study that the Student-t copula is not only superior to the …