After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...

Purpose – Proposes a new covariance matrix robust estimator able to capture the correct orientation of the data and the large unconditional variance caused by occasional high volatility periods. Design/methodology/approach – Derives easy‐to‐compute estimates for the center and covariance...

Long memory in volatility is a stylized fact found in most financial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We fit copulas to pairs of raw and filtered...

Purpose – This paper aims to statistically model the serial dependence in the first and second moments of a univariate time series using copulas, bridging the gap between theory and applications, which are the focus of risk managers. Design/methodology/approach – The appealing feature of the...