In the increasingly connected world, many systems are more or less coupled with each other in various ways. A typical example is the cross-market portfolio management, where the products of heterogeneous markets are selected and configured for investment. In such cross-market problems, one...

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...