We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations … and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I …

variables, it also suffers from many shortcomings. Reason why, we used copula functions to understand better the dependence …

components is modeled through a copula function with marginals. Allowing the copula dependence parameter time-varying, we … estimate the dynamic nonlinear dependence between absolute returns and signs, which governs time- varying skewness for out …-of-sample forecast of financial returns. The empirical results in this paper show that the proposed models with dynamic dependence obtain …

and flexible specification of the SF model, introducing dependence between the two error components and asymmetry …) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …