Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns …'s rho as an alternative dependence measure. Our approach is purely nonparametric and we avoid any kind of model … significant differences in dependence of stock returns in bull and bear markets. On the other hand the differences are not so …

that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and …It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we … focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different …

approaches require less stringent distributional hypotheses. As shown by Smith (2003), copulas allow great flexibility also in … form of the margins, since it allows separating their modelling from that of the dependence structure. In the present paper …

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of … dependence structure. First, the results show symmetric dependence and tail dependency equality between the two markets. This … with a too-big-to-fail effect. Second, the authors do not detect structural breaks in the dependence structure in a period …

-RV model achieves the best forecast performance, which highlights the importance of asymmetry and upper tail dependence for … copulas do not improve the accuracy of volatility forecasts. …