Part of the accepted wisdom among financial practitioners and academics is the fact that equity returns exhibit significant time-variations in the risk and dependence structure. Recent empirical studies also report an asymmetry in the concurrence of extreme returns, i.e. stocks appear to be more...

Crucial for asset allocation and portfolio management is the estimation of volatility and covariance structure of asset returns. Even the simplest Markowitz portfolio construction requires estimates of the mean returns, variance and covariances. Various studies show that the calculation of...