vi Abstract Proper understanding of the dependence between assets is a crucial ingredient for a number of portfolio and risk management tasks. While the research in this area has been lively for decades, the recent financial crisis of 2007-2008 reminded us that we might not understand the dependence properly. This crisis served as catalyst for boosting the demand for models capturing the dependence structures. Reminded by this urgent call, literature is responding by moving to nonlinear de- pendence models resembling the dependence structures observed in the data. In my dissertation, I contribute to this surge with three papers in financial econo- metrics, focusing on nonlinear dependence in financial time series from different perspectives. I propose a new empirical model which allows capturing and forecasting the conditional time-varying joint distribution of the oil - stocks pair accurately. Em- ploying a recently proposed conditional diversification benefits measure that con- siders higher-order moments and nonlinear dependence from tail events, I docu- ment decreasing benefits from diversification over the past ten years. The diver- sification benefits implied by my empirical model are, moreover, strongly varied over time. These findings have important implications for asset allocation, as the benefits of...

Lorsqu’un liquide est refroidit suffisamment vite, la cristallisation peut être évitée. On a alors un liquide surfondu dont le temps de relaxation augmente fortement quand la température diminue vers la température de transition vitreuse Tg. En-dessous de Tg, le systèmeest dans l’état vitreux. Il vieillit : son temps de relaxation augmente au cours du temps. L’existence d’une longueur de corrélation croissante associée au ralentissement de la dynamique des liquides surfondus (ou des verres) est une des grandes questions toujours ouvertes dans la physique de la transition vitreuse. Des arguments théoriques très généraux ont montré que la mesure de la susceptibilité alternative non linéaire d’ordre trois des liquides surfondus (ou des verres) donnait directement accès à la longueur de corrélation dynamique. Nous avons mis au point une expérience à haute sensibilité permettant d’accéder à deux susceptibilités diélectriques non linéaires d’ordre trois près de Tg. Nos résultats obtenus sur du glycrol surfondu sont quantitativement en très bon accord avec les prédictions théoriques. Ils montrent que la longueur de corrélation dynamique augmente lorsque T diminue vers Tg. En dessous de Tg, l’étude du vieillissement d’une des susceptibilités non linéaires nous a permis de mettre en évidence que la longueur de corrélation dynamique augmente au cours du temps. Ces résultats renforcent le scénario selon lequel la transition vitreuse serait liée à un point critique sous-jacent, ce qui expliquerait l’ubiquité du comportement vitreux dans la nature. / Upon fast enough cooling, a liquid avoids crystallization and enters in a supercooled state. The relaxation time of this supercooled liquid increases extremely fast when the temperature decreases towards the glass transition temperature Tg. Below Tg, the system is in the glassy state. It ages : the relaxation time increases with time. The existence of a growing correlation length associated to the slowing down of supercooled liquids (or of glasses) is one of the main open issues in the physics of the glass transition. On very general theoretical arguments, it has been shown that the third order a.c. nonlinear susceptibility around Tg gives direct access to the dynamical correlation length. We have developped a high sensibility experiment to measure, close to Tg, two nonlinear dielectric susceptibilities of the third order. Our results performed on supercooled glycerol are quantitatively in very good agreement with theoretical predictions. They show that the dynamical correlation length increases when T decreases towards Tg. Below Tg, aging experiments of one of the nonlinear susceptibilities reveal that the dynamical correlation length increases with time. These results clearly evidence the collective character of glassy dynamics and reinforce the picture of an underlying critical point, which would explain the ubiquity of the glass transition in Nature.