empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to … with time-varying copula yields statistically better forecasts of the dependence and quantiles of the distribution relative …

of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to …

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different … four market statuses are asymmetric, for most countries, in the negative correlation regime, but symmetric in the positive … correlation regime. These results enrich findings in existing literature and suggest that analyzing cross-market linkages within a …

markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are … modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function … estimated by a semi-parametric method. We found that the timevarying normal copula yields the best fit for CROBEX-CAC40, CROBEX …

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …

turns out to be the main cause of the Epps effect. However, the corrected correlation estimator seems to be more volatile … than the regular estimator of the correlation. In the case of the VSE, evidence of the Epps effect is not unique. For the …