[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … dependence structure to multivariate optionpricing. We use the new concept of Levy copula introduced in the literature by Tankov … bivariate variance gamma and bivariate CGMYmodels. To model the dependence structure between underlying assets we use the …

the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional … gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest …

, with contagion being defined as an increase in dependence. We revisit thisissue using a more robust methodology based on …

focus on theweighted power mean (WPM) of two arbitrary copulas which is notnecessary a copula again, as different …

When assets exhibit asymmetric dependence or joint downside risk, diversificationcan fail and financial markets may be … parsimonious set of copulas. We find evidence of downside risk in several risk factors.Interestingly for research on systemic risk …

experience joint extreme events. In this paper,we empirically analyze such asymmetric dependence using two approaches …, correlationsand copulas. We document four findings. First, linear correlations and copulasdisagree substantially about the nation …’s dependence structure, indicating correlationcomplexity in the US economy. Second, GDP exhibits linear dependence with …

diversification usingtwo measures of dependence: correlations and copulas. We document several findings.First, both measures agree … of asset dependence. In light of theoretical researchlinking diversification and dependence, we examine international … that dependence has increased over time. Second, there isevidence of asymmetric dependence or downside risk in the G5 and …

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide …