Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - 2016
multivariate dependence structure of the vine copulas is time-varying, and we see that the share of copulas capable of modeling …We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for … linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and …