Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089574 | Journal of Banking & Finance | 2013 | 10 Pages |
Abstract
⺠The student's t copula predominates in the relationships of the returns. ⺠There is a fast decrease in the association of the returns along time. ⺠The Joe copula predominates in the fit of the volatility relationships. ⺠Magnitude and persistence of lagged associations is larger for risks than returns. ⺠The association in the tails is generally larger than the absolute.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Marcelo Brutti Righi, Paulo Sergio Ceretta,