We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain. We verify our...

Consider the collection of all derivative contracts written on an asset that deliver the same payoff distribution as a direct investment of $1 in the asset. We refer to the cheapest such derivative as the optimal measure preserving derivative. Using the Hardy-Littlewood rearrangement inequality,...

The first confirmed case of Coronavirus Disease 2019 (COVID-19) in the US was reported on January 21, 2020. By the end of March, 2020, there were more than 180,000 confirmed cases in the US, distributed across more than 2000 counties. We find that the right tail of this distribution exhibits a...