An alternative generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a positive random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk. In this paper, these curves...

This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the covariance structure. With our new methodology, the original multivariate, n-dimensional model is treated as a set...

We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008–2009 financial crisis and test different portfolio strategies such as maximum Sharpe ratio, minimum...