Penzer, Jeremy; Schmid, Friedrich; Schmidt, Rafael - In: Quantitative Finance 12 (2012) 7, pp. 1037-1049
A general, copula-based framework for measuring the dependence among financial time series is presented. Particular emphasis is placed on multivariate conditional Spearman's rho (MCS), a new measure of multivariate conditional dependence that describes the association between large or extreme...