A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both...

Do catastrophe bonds increase or decrease the exposure and contribution to systemic risk of the issuing insurance companies? And if such issues influence systemic stability, what design features of the bond and characteristics of the issuing insurer cause catastrophe bond issues to destabilize...

Secure multi-party computation (MPC) allows for the implementation of smart contracts that can be programmed to self-execute ad-hoc financial contracts constructed dynamically and traded on a variety of auction platform typologies (over-the-counter, peer-to-peer, electronic limit order books)....

We propose the use of nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation...

We propose to model the joint distribution of bid-ask spreads and log returns of a stock portfolio by using Autoregressive Conditional Double Poisson and GARCH processes for the marginals and vine copulas for the dependence structure. By estimating the joint multivariate distribution of both...

In this paper, the optimality of bivariate copula-VaR models and the usefulness of several goodness-of-fit tests for copulas are analysed in a comprehensive empirical study using data for stocks, commodities and FX futures. In particular, I try to answer two questions: (1) Which parametric...

We characterize co-movements in investor attention by modeling multivariate internet search volume data. Using a variety of copula models that can capture both asymmetric and skewed dependence, we find empirical evidence of strong non-linear and asymmetric dependence in the attention investors...

We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect first-order instationarities in the matrix of VaR-violations. Second, we propose x²-tests for detecting cross-sectional and serial dependence in the...