Puzanova, Natalia - Deutsche Bundesbank - 2011
asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG … static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower-tail … dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the …