This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a...

This study considers the ability of the Component-GARCH model to capture the stylized features of volatility in 14 stocks traded on the Stock Exchange of Hong Kong. The relative merits of several GARCH models nested in the Component-GARCH are investigated using the standard likelihood ratio...

A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover individual jumps from this overall contribution to the quadratic variation, one needs to estimate both the number of jumps...

Understanding the relationships among multivariate assets would help one greatly about how best to position one's investments and enhance one's financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous...

Following Waterloo, managing French public finances represented a daunting task. Defeated France had lost a substantial part of its population and territory. The country was partially occupied and France was to pay huge amounts as reparations to the victors. Furthermore, France's reputation had...