Article ID Journal Published Year Pages File Type
5085059 International Review of Financial Analysis 2012 9 Pages PDF
Abstract
► Pair-copulas model the multivariate behavior of realized volatilities. ► We illustrate the modeling approach using two data sets from emerging markets. ► We assess volatilities' co-movements and contagion in emerging markets. ► We assess the effect of the dimensionality on the strength of tail dependence.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
On the dependence structure of realized volatilities
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