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...

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...