Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of Banking & Finance 37 (2013) 3, pp. 837-846
This paper proposes an approach based on copula families to determine shape and magnitude of non-linear serial and cross-interdependence between returns and volatilities of financial assets. It is evident the predominance of the student’s t copula in returns relationships. Association in tails...