This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial crisis. We apply this methodology to two 20-asset...

Based on intraday data for cross-section of individual stocks and exchange traded funds we show that transitory as well as persistent fluctuations of realized market and average idiosyncratic higher moments risks are priced in the cross-section of asset returns. We document that investors...