Asymmetry in tail dependence in equity portfolios

DOI10.1016/J.CSDA.2015.02.014zbMath1466.62110OpenAlexW3124536635MaRDI QIDQ1659125

Eric Jondeau

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.02.014

zbMATH Keywords

tail dependencemultivariate noncentral \(t\) distributionstock return asymmetry

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation ⋮ Jump tails, extreme dependencies, and the distribution of stock returns

Uses Software

• QRM

Cites Work

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• Portfolio optimization for studenttand skewedtreturns
• Dependence of Stock Returns in Bull and Bear Markets

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