How long memory in volatility affects true dependence structure

International Review of Financial Analysis

Volumn 17, Issue 5, 2008, Pages 1070-1086

  de Melo Mendes, Beatriz Vaz ^a   Kolev, Nikolai ^b  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^b UNIVERSITY OF SÃO PAULO   (Brazil)

Author keywords

Copulas; Emerging markets; FIGARCH models; Long memory; Tail dependence

Indexed keywords

EID: 54849425548     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2007.06.008     Document Type: Article

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