This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out … specifies the yield curve dynamics. We then apply a broad class of copula functions for modeling dependence in factors spanning … the yield curve. Our sample of monthly yields in the 1982 to 2001 period provides evidence of upper tail dependence in …

)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …

-independence, ii) Non-normality and time- independence and iii) Non-normality and time-dependence. In the case of Hedge Funds, our … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the …

Most multivariate measures of skewness in the literature measure the overall skewness of a distribution. While these … distributions is less obvious. In this article, we consider the problem of characterising the skewness of multivariate distributions …. We define directional skewness as the skewness along a direction and analyse parametric classes of skewed distributions …