350 Victoria Street
Toronto, Ontario M5B 2K3
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.
Copulas, Tail dependence, Dependence structure, GARCH, Stock return, Foreign exchange rate return
Volatility clustering, Univariate time series copulas, Realized kernel volatility, Value-at-Risk
Return–volume dependence, Extreme returns, Copulas, Tail dependence
This page was processed by aws-apollo5 in 0.376 seconds