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/B/E/S recommendations for the period January to December 2011 with...

We propose a class of flexible non-parametric tests for the presence of dependence between components of a random vector based on weighted Cramér-von Mises functionals of the empirical copula process. The weights act as a tuning parameter and are shown to significantly influence the power of...

We propose a nonparametric measure of association between any number of random vectors that is based on the empirical copula process. The measure is insensitive to the dependence of components within vectors and only captures association between vectors as a whole. We calculate approximate...