“...•We investigate the structure of volatility clustering of asset returns.•We employ copula-based univariate time-series models and realized kernel...”

“...This paper examines the estimation of the Stochastic Conditional Duration model by the empirical characteristic function and the generalized method of moments...”

“...In this paper, we propose the use of static and dynamic copulas to study the leverage effect in the S&P 500 index. Copula models can conveniently separate the...”

“...This paper investigates the structure and degree of extreme dependence in international equity markets using carefully selected tools from the theory of...”

“...In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is...”