In this work, we focus on the cross-shareholding structure in financial markets. Specifically,
we build ad hoc indices of concentration and control by employing a complex network …

This paper introduces an innovative method for constructing copula models capable of
describing arbitrary non-monotone dependence structures. The proposed method enables …

The complex nature of financial markets is the object of many studies. In general, it is crucial
to comprehend how the dependence structure changes based on the values of some …

Copula functions are mathematical tools that have been used in finance for approximately
ten years. Their main selling point is to separate the dependence function (copula) from the …

Two important issues in the analysis of association among financial markets are the degree
of dependence and the underlying shape commanding the cross-market dependencies, so …

A mixture copula is a linear combination of several individual copulas that can be used to
generate dependence structures not belonging to existing copula families. Because different …

Copula modeling has become an increasingly popular tool in finance to model assets
returns dependency. In essence, copulas enable us to extract the dependence structure …

We consider the problem of modelling the dependence between financial markets. In
financial economics, the classical tool is the Pearson (or linear correlation) coefficient to …

In this essay, we analyze the dependence structures of equity, bond and money markets in
Australia, the United States as well as the linkages between the two countries. The …

In this paper we estimate the dependence structure between economic sectors in the
Brazilian financial market through Pair Copula Construction. We use daily data from indices …