Alternative assets, defined by their low correlation with classical financial assets, have become an important investment vehicle in times of negative interest rates and in the aftermath of the global economic and financial crisis. Hedge funds increasingly invest in physical assets such as fine...

Structural innovations in multivariate dynamic systems are typically hidden and often identified by means of a-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish alternative orderings of variables or, put differently,...