In this paper, we propose the use of static and dynamic copulas to study the leverage effect in the S&P 500 index. Copula models can conveniently separate the leverage effect from the marginal distributions of the return and its volatility. Daily volatility is proxied by a measure of realized...

Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel volatilities constructed from high frequency data...

This paper investigates the properties of a linearized stochastic volatility (SV) model originally from Harvey et al. (Rev Econ Stud 61:247–264, <CitationRef CitationID="CR20">1994</CitationRef>) under an extended flexible specification (discrete mixtures of normal). General closed form expressions for the moment conditions are derived....</citationref>