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...

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...

Evidence in the applied literature indicates that policies intended to stimulate positive externalities via coercion can backfire. For example, Davis (2008) finds that when in 1989, the government of Mexico City tried to control air pollution by banning most drivers from driving their vehicle...