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