Investment practice and academic literature suggest a great degree of interaction between the world’s stock markets and … markets. This predictive relation remains intact after controlling for various world and country-level variables. Asset … conventional risks, such as those of the world stock market, foreign exchange, local equity market variance and illiquidity, as …

displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random … display any anomaly, estimation of our model provides evidence of the presence of both dependence between the error components … and flexible specification of the SF model, introducing dependence between the two error components and asymmetry …

aggregating the various risks that compose it. This can only be done through modelling of their dependence. It is a well known …, in times of crisis the dependence between risks increases. Experience has shown that very large loss events almost always … methods of modelling dependence and their influence on diversification benefits. We show that the latter strongly depend on …

support their business. The RAC depends on both the distribution and the dependence functions that are applied among the risks … shortfall. We highlight the behavior of different capital allocation principles according to the dependence assumptions and the …

demonstrated a sound flexibility in the estimation process, there is so far no attempt to use this function in the construction of …

Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between …