In this paper, we test for structural changes in the conditional dependence of two-dimensional foreign exchange data. We show that by modeling the conditional dependence structure using copulae, we can detect changes in the dependence beyond linear correlation, such as changes in the tail of the...

Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...

In proving limit theorems for some stochastic processes, the following classes of distribution functions were introduced by Chover--Ney--Wainger and Chistyakov F belongs to ([lambda]) if and only if: 1. (i) 2. (ii) for all yreal, 3. (iii)[integral operator][infinity]0...

Distributions of sample quantiles of measurable stochastic processes are important for the purpose of rational pricing of "look-back" options. In this paper we compute the exact tail behavior of the sample quantile distribution for a large class of infinitely divisible stochastic processes with...

This article discusses issues common to the pricing of both insurance and finance. These include increasing collaboration between insurance companies and banks, deregulation of various insurance and finance markets, integrated risk management, and the emergence of financial engineering as a new...