The returns of equities and bonds tend to be positively correlated, but in extreme situations this relation reverses. Large negative equity returns co-occur with large positive bond returns. This is potentially caused by investors reassessing their risk preferences and shifting their wealth to...

The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne...

We present an approach for modeling dependencies in exponential Lévy market models with arbitrary margins originated from time changed Brownian motions. Using weak subordination of Buchmann et al. (2016), we face a new layer of dependencies, superior to traditional approaches based on pathwise...

This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the yield curve dynamics. We then apply a broad...

In decision problems, frictions as well as constraints play an increasingly important role. Especially, optimal timing problems can be affected by potentially “non-rational” behavior of the decision maker which is not incorporated in the standard theory. A relevant problem of this kind is...