In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....

We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...