type="main" xml:id="jtsa12103-abs-0001"Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models...

Recent empirical studies have found evidence of nonmonotonicity in the pricing kernels for a variety of market indices. This phenomenon is known as the pricing kernel puzzle. The payoff distribution pricing model of Dybvig predicts that the payoff distribution of a direct investment of $1 in a...

An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sufficient conditions for a geometric rate of mixing in models of this kind. Geometric β-mixing is established...

We generalize Hoeffding's lemma to apply to covariances between functions of several random variables. Our generalization leads to a new class of covariance inequalities involving the Vitali or Hardy-Krause variation. These inequalities are relevant to the study of weakly dependent processes.