This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

What are the cross-sectional and time-series characteristics of corporate bond returns? Do corporate bond risk premia vary over time and are these time-variations predictable? And if yes, is it a sign of market inefficiency? Recent empirical studies show a strong mean reversion at the monthly...