The performance of volatility-based trading strategies depends, among other factors, on the asset selection and the associated risk preference. For this study, we conducted a representative survey for Germany to determine the asset preferences of individuals with lower-risk and higher-risk...

The performance of volatility-based trading strategies depends, among other factors, on the asset selection and the associated risk preference. For this study, we conducted a representative survey for Germany to determine the asset preferences of individuals with lower-risk and higher-risk...

In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. The last 200 observations were separated for posterior...

In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. After, we estimated the lower and upper tail dependence for...