When assets exhibit asymmetric dependence or joint downside risk, diversificationcan fail and financial markets may be prone to systemic risk. We analyze thedependence structure of risk factors in the US economy, using both correlations anda parsimonious set of copulas. We find evidence of...

A central role for economic policy involves reducing the incidence of systemic downturns,when key economic variables experience joint extreme events. In this paper,we empirically analyze such asymmetric dependence using two approaches, correlationsand copulas. We document four findings. First,...

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...

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...

A copula approach is adopted to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that the return-volume dependence is significant and asymmetric at extremes for all six East-Asian markets. In particular extremely high...

.