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 …

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 … diversification gain. Several copulas are considered in order to focus on the role of dependencies. To be consistent with the … shortfall. We highlight the behavior of different capital allocation principles according to the dependence assumptions and the …