We develop tests for high-dimensional covariance matrices under a generalized elliptical model. Our tests are based on a central limit theorem for linear spectral statistics of the sample covariance matrix based on self-normalized observations. For testing sphericity, our tests neither assume...

Tail-dependence evolution for the symmetrized Joe–Clayton copula is proposed to depend on an exponentially weighted moving average (EWMA) of the absolute difference in probability integral transforms. Using these dynamics, time-varying tail dependence between bank and insurance equity prices...