Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of … persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible … messages, as they differ both in the level and the implied evolution of persistence. One plausible reason why persistence …

applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as …

fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of …

of persistence, and also carries out appropriate break tests. Further, the possible co-movement of this index between …

standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … of volatility breaks reduces the level of persistence in most of the models. The study recommends the incorporation of …