Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 51, Issue 2, Pages 1312-1329Publisher
ELSEVIER
DOI: 10.1016/j.csda.2005.11.007
Keywords
copulas; daily equity returns; bivariate chi-square statistic; risk management
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The problem of the identification of dependencies between time series of equity returns is analyzed. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several marginal models and families of copulas are fitted and compared with Spanish stock market data. The results show the difficulty in adjusting the bivariate distribution of raw returns, and highlight the effect of a GARCH filtering in the selection of the best fitting copula. (c) 2005 Elsevier B.V. All rights reserved.
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