This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

The relationships among different investment types in South Africa, and how these shift with the overall economic environment, are the focus of this research, as is what this means for managing the risk of investment collections. Using a Markov-Switching Vector Autoregressive (MS-VAR) method, we...