Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …

Dependence Modeling with Copulas covers the substantial advances that have taken place
in the field during the last 15 years, including vine copula modeling of high-dimensional …

This article argues that there are several logical reasons for the existence of asymmetric
causal effects that need to be taken into account but usually are neglected in the literature. It …

The relations between carbon and energy market is a hot topic but little research has
focused on the time-varying spillover in a quantitative way. This paper employs the method …

Copula-based models provide a great deal of flexibility in modeling multivariate
distributions, allowing the researcher to specify the models for the marginal distributions …

The US government's failure to provide oversight and prudent regulation of the financial
markets, together with excessive risk taking by some financial institutions, pushed the world …

Tail dependence and conditional tail dependence functions describe, respectively, the tail
probabilities and conditional tail probabilities of a copula at various relative scales. The …

In this paper, we empirically analyse the performance of five gold-backed stablecoins during
the COVID-19 pandemic and compare them to gold, Bitcoin and Tether. In the digital assets' …

It has been shown that vine copulas constructed from bivariate t copulas can provide good
fits to multivariate financial asset return data. However, there might be stronger tail …