Independent
Leverage effect, Copulas, Tail dependence, Realized volatility, High frequency data
Dependence-switching copula, Tail dependence, Oil prices, US dollar exchange rates, downside risk spillover, upside risk spillover.
Volatility clustering, Univariate time series copulas, Realized kernel volatility, Value-at-Risk
Value at Risk, Expected Shortfall, Mixtures of Normal, GARCH, Characteristic Function
Value at Risk, Stochastic Volatility, Mixture of Normals, Generalized Method of Moments, Markov Chain Monte Carlo
Stochastic Conditional Duration Model, Autoregressive Conditional Duration Model, Leverage Effect, Discrete Mixtures of Normal, Empirical Characteristic Function
Mixtures of Normal, Maximum Likelihood, Moment Generating Function, Characteristic Function, Switching Regression Model, (G)ARCH Model, Stochastic Volatility Model, Autoregressive Conditional Duration Model, Stochastic Duration Model, Value at Risk
Multivariate Models, Independent Component Analysis, Principal Component Analysis, GARCH, Value at Risk
Stochastic Duration Model, Mixture of Normal Distribution, Leverage Effect, Continuous Empirical Characteristic Function
