This paper proposes a new copula-based approach to test for asymmetries in the dependence structure of financial time series. Simply splitting observations into subsamples and comparing conditional correlations leads to spurious results due to the well-known conditioning bias. Our suggested...

Using a complete sample of US equity options, we find a positive, highly significant relation between stock returns and lagged implied volatilities. The results are robust after controlling for a number of factors such as firm size, market value, analyst recommendations and different levels of...