Normal tempered stable copula

In this paper, we discuss a copula defined by the Gaussian subordination method. The copula can capture the dependence between extreme events, and asymmetric dependence, which are observed in empirical financial return distributions. We further perform an empirical test for this new copula against the standard Gaussian copula using 10 years daily returns of the Standard&Poor’s 500 (S&P500) and the Deutscher Aktien Index (DAX) equity market indices.