We introduce a new scalar coefficient to measure linear correlation between random vectors which preserves all the relevant properties of Pearson's correlation in arbitrary dimensions. The new measure and its bounds are derived from a mass transportation approach in which the expected inner...

Both at the design stage as well as at the pricing stage of Alternative Risk Transfer (ART) products, the notion of low (zero) beta plays an important role. By now it is well known that for these non--standard products, the interpretation of dependence through linear correlation (and hence the...

In this paper we test for structural changes in the conditional dependence of two-dimensional foreign exchange data. We show that by modeling the conditional dependence structure using copulae we can detect changes in the dependence beyond linear correlation like changes in the tail of the joint...