We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant returns of 9.25 percent p.a. and...

We introduce a new class of Shewhart control charts, namely the phi-chart. This new class is based on the cumulative paired phi-divergence that generalizes both the cumulative (residual) entropy and the differential entropy. The phi-chart contains several subclasses; of which one has as a...

This paper introduces two new concepts of symmetry for multivariate copulas with a focus on tails regions. Properties of the symmetry concepts are investigated for bivariate copulas and a connection to radial symmetry is established. Two nonparametric testing procedures for the new concepts are...