) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the …

in one direction. In practice, however, estimation residuals may display skewness in the wrong direction. Model re …-specification or pulling a new sample is often prescribed. This paper proposes a feasible alternative: imposing a negative skewness …

pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis …

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …