Asymmetric Dependence in Finance

About the Editors ix Introduction xi CHAPTER 1 Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence 1 Jamie Alcock and Anthony Hatherley CHAPTER 2 The Size of the CTA Market and the Role of Asymmetric Dependence 17 Stephen Satchell and Oliver Williams CHAPTER 3 The Price of Asymmetric Dependence 47 Jamie Alcock and Anthony Hatherley CHAPTER 4 Misspecification in an Asymmetrically Dependent World: Implications for Volatility Forecasting 75 Salman Ahmed, Nandini Srivastava and Stephen Satchell CHAPTER 5 Hedging Asymmetric Dependence 110 Anthony Hatherley CHAPTER 6 Orthant Probability-Based Correlation 133 Mark Lundin and Stephen Satchell CHAPTER 7 Risk Measures Based on Multivariate Skew Normal and Skew t -Mixture Models 152 Sharon X. Lee and Geoffrey J. McLachlan CHAPTER 8 Estimating Asymmetric Dynamic Distributions in High Dimensions 169 Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov CHAPTER 9 Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability 198 Jamie Alcock and Petra Andrlikova CHAPTER 10 The Most Entropic Canonical Copula with an Application to 'Style' Investment 221 Ba Chu and Stephen Satchell CHAPTER 11 Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It? 263 Rand Kwong Yew Low, Jamie Alcock, Robert Faff and Timothy Brailsford Index 291

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