Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence … whether these indices are cointegrated. We show that while heteroscedasticity alone is able to mislead cointegration tests, it … features. We conclude that cointegration is not a suitable method to analyze stock market interdependence …

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …

of a well diversified world stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 … world industry sector indices. The log-returns of its denominations in different currencies appear to be Student … copulae to the estimation of the Value-at-Risk and the expected shortfall of a portfolio, constructed of savings accounts of …