As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

The financial crisis highlighted the importance of modelling dependence between assets. Correlation is one common way to measure that dependence, but as the number of assets gets larger and ...

During the financial crisis, it was often impossible to calibrate the Gaussian copula credit portfolio model with base correlation and fixed recovery rates (also known as the standard Gaussian copula ...

This paper presents a generalization of the concept of vector correlation proposed by Escoufier (1973) to the context of time series. For two jointly stationary multivariate stochastic processes { Xt} ...

Univariate almost stochastic dominance has been widely studied and applied since its introduction by Leshno and Levy (Manag Sci 48: 1074-1085, 2002). This paper extends this construction to the ...