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...

Abstract In this paper recent results related to run and frequency quotas in time-homogeneous multi-state Markov chains are presented and their application in terms of the classical risk model is given.

Abstract In this work we propose a representation of a bivariate density corresponding to the given geometrical behavior of the marginals. A continuous density with compact support can be approximated by the exponential of an infinite polynomial. We find intervals for the possible values of its...