varies across scales. In addition, results on the volatility linkage, which manifests itself through volatility comovements … and spillover, show that volatility comovements generally strengthen as scale increases and volatility spillover varies …

-Clayton (SJC) copula to estimate the tail dependences for six major global markets (U.S., U.K., Japan, Australia, Hong Kong, and … Singapore). In implementing the SJC copula, we model the marginal distributions of returns through a semi-parametric method …