Asymmetric dependence (AD) is defined as dependence that differs across opposing regions of the joint return distribution. Recent evidence of AD between equity returns suggests that dependence can be decomposed into a linear component, captured by the correlation matrix, and a higher order...

This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US's and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first...

Consecutive extreme rainfall events, especially those having unfavourable spatio-temporal patterns, always trigger large floods. This paper aims to examine, through the multivariate hydrological frequency analysis, the probability of the synchronous occurrence of rainfall extremes in the Pearl...