derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few … measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross …. We refer to this as the exponent of cross-sectional dependence. We derive an estimator of this exponent from the …

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process … on the nature of the unobserved common effects. -- panels ; strong and weak cross section dependence ; weak and strong …

In this paper we extend the concept of serial correlation common features to panel data models. This analysis is …

This paper applies different copulas in order to investigate the complex dependence structure between EU emission … correlations between returns of emission allowances and other financial variables. Secondly, considering time-varying copulas shows … that the estimated copula parameters are not constant over time. We find in particular that the dependence is stronger …