in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

additionally capable of identifying time-varying comovement patterns. By applying this concept to excess returns of the monthly S …

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 …

the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account … representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

, Lebanon, Morocco, Turkey and United Arab Emirates) are considered by adopting the recently developed wavelet comovement … analysis (Rua, 2010). The wavelet base measure of correlation enables not only to analyze the interdependence among stock …