the dependence function (or copula). We then deduce the form of the (invariably nonlinear) conditional quantile …We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines … quantiles. Econometrica, 46, no. 1: 33-50.) original statement of the quantile regression problem by determining a distribution …

-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to …

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …

return predictors, including tail risk. The predictability results are robust to out-of-sample tests …