Ning, Cathy; Xu, Dinghai; Wirjanto, Tony S. - In: Finance Research Letters 5 (2008) 4, pp. 221-227
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...
