How Long Memory in Volatility A®ects True Dependence Structure
نویسندگان
چکیده
Long memory in volatility is a stylized fact found in most ̄nancial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We ̄t copulas to pairs of raw and ̄ltered returns, analyse the observed changes in the dependence structure may be driven by volatility, and discuss whether or not asymmetries on propagation of crisis may be interpreted as intrinsic characteristics of the markets. We also use the ̄ndings to construct portfolios possessing desirable expected behavior such as dependence at extreme positive levels. JEL subject classi ̄cations: C51 F36 G15
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