A general, copula-based framework for measuring the dependence among financial time series is presented. Particular emphasis is placed on multivariate conditional Spearman's rho (MCS), a new measure of multivariate conditional dependence that describes the association between large or extreme...

We present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio...