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

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists...