Title: The Stukel Copula
Authors: Emilio Zanetti Chini - Sapienza University of Rome (Italy) [presenting]
Michele Costola - SAFE, Goethe University Frankfurt (Germany)
Abstract: We propose a new copula function (Stukel Copula, SC) capable to model the dynamic asymmetry in conditional dependence. This is possible also by using a peculiar version of the logistic smooth transition function. The SC is able to solve some pitfall of actual literature in financial contagion and is feasible to be applied to several other families of copula functions. In the empirical analysis, we apply the model to HAR-RVs of the major stock indices using the Oxford-Man Institute's realized library.