type="main" xml:id="jtsa12103-abs-0001"Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models...

This paper develops a uniformly valid and asymptotically nonconservative test based on projection for a class of shape restrictions. The key insight we exploit is that these restrictions form convex cones, a simple and yet elegant structure that has been barely harnessed in the literature. Based...

Recent empirical studies have found evidence of nonmonotonicity in the pricing kernels for a variety of market indices. This phenomenon is known as the pricing kernel puzzle. The payoff distribution pricing model of Dybvig predicts that the payoff distribution of a direct investment of $1 in a...

We generalize Hoeffding's lemma to apply to covariances between functions of several random variables. Our generalization leads to a new class of covariance inequalities involving the Vitali or Hardy-Krause variation. These inequalities are relevant to the study of weakly dependent processes.