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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...
Persistent link: https://www.econbiz.de/10013029569
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...
Persistent link: https://www.econbiz.de/10013035781
Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula-based semi-parametric univariate time-series models...
Persistent link: https://www.econbiz.de/10008568542
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...
Persistent link: https://www.econbiz.de/10008549326
This article considers risk measures constructed under a discrete mixture-of-normal distribution on the innovations of a GARCH model with time-varying volatility. The authors use an approach based on a continuous empirical characteristic function to estimate the parameters of the model using...
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