This paper investigates the structure and degree of extreme dependence in international equity markets using carefully selected tools from the theory of copulas. We examine both the static and dynamic dependence via unconditional and conditional copulas. We find significant asymmetric tail...

We develop a new simultaneous time series model for volatility and dependence in daily financial return series that are subject to long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time...

Constructing multivariate conditional distributions for non-Gaussian return series has been a major research agenda recently. Copula GARCH models combine the use of GARCH models and a copula function to allow flexibility on the choice of marginal distributions and dependence structures. However,...