JAMIE ALCOCK, PHD, is Associate Professor of Finance at the University of Sydney Business School. He has previously held appointments at the University of Cambridge, Downing College Cambridge, and the University of Queensland. Dr. Alcock's research interests include asset pricing, corporate finance, and real estate finance. The quality of his research has been recognized through multiple international research prizes, including most recently the EPRA Best Paper prize at the 2016 European Real Estate Society conference. STEPHEN SATCHELL, PHD, PHD, is a Life Fellow at Trinity College Cambridge, a Professor of Finance at the University of Sydney and was an Honorary Visiting Professor at Birkbeck College, University of London. He is the Emeritus Reader in Financial Econometrics at the University of Cambridge and is an Honorary Member of the Institute of Actuaries. He specializes in finance and econometrics, on which he has written at least 200 papers.

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

JAMIE ALCOCK, PHD, is Associate Professor of Finance at the University of Sydney Business School. He has previously held appointments at the University of Cambridge, Downing College Cambridge, and the University of Queensland. Dr. Alcock's research interests include asset pricing, corporate finance, and real estate finance. The quality of his research has been recognized through multiple international research prizes, including most recently the EPRA Best Paper prize at the 2016 European Real Estate Society conference. STEPHEN SATCHELL, PHD, PHD, is a Life Fellow at Trinity College Cambridge, a Professor of Finance at the University of Sydney and was an Honorary Visiting Professor at Birkbeck College, University of London. He is the Emeritus Reader in Financial Econometrics at the University of Cambridge and is an Honorary Member of the Institute of Actuaries. He specializes in finance and econometrics, on which he has written at least 200 papers.

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

JAMIE ALCOCK, PHD, is Associate Professor of Finance at the University of Sydney Business School. He has previously held appointments at the University of Cambridge, Downing College Cambridge, and the University of Queensland. Dr. Alcock's research interests include asset pricing, corporate finance, and real estate finance. The quality of his research has been recognized through multiple international research prizes, including most recently the EPRA Best Paper prize at the 2016 European Real Estate Society conference. STEPHEN SATCHELL, PHD, PHD, is a Life Fellow at Trinity College Cambridge, a Professor of Finance at the University of Sydney and was an Honorary Visiting Professor at Birkbeck College, University of London. He is the Emeritus Reader in Financial Econometrics at the University of Cambridge and is an Honorary Member of the Institute of Actuaries. He specializes in finance and econometrics, on which he has written at least 200 papers.

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