Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

DOI10.1016/J.CSDA.2005.11.007MaRDI QIDQ1010475zbMATH OpenOpenAlexFDO

Authors Oriol Roch, A. Alegre

Publication date 6 April 2009

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

Full work available at URL http://hdl.handle.net/2445/12027

zbMATH Keywords

bivariate chi-square statisticcopulasdaily equity returnsrisk management

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A note on adjusting correlation matrices
• An introduction to copulas. Properties and applications
• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian copula selection
• Bivariate tail estimation: dependence in asymptotic independence
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Dependence structures for multivariate high-frequency data in finance
• Estimation of the coefficient of tail dependence in bivariate extremes
• Fitting bivariate cumulative returns with copulas
• Fitting bivariate loss distributions with copulas
• Generalized autoregressive conditional heteroscedasticity
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Goodness-of-fit tests for copulas
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3436435 (Why is no real title available?)
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• On Bayesian Modeling of Fat Tails and Skewness
• Statistics for near independence in multivariate extreme values
• Testing the Gaussian copula hypothesis for financial assets dependences
• Tests of independence and randomness based on the empirical copula process
• The four-parameter kappa distribution
• The t Copula and Related Copulas
• The theory and applications of statistical inference functions

Cited in

(10)

• Fourier methods for testing multivariate independence
• Modelling multi-output stochastic frontiers using copulas
• Analysis of ordinal and continuous longitudinal responses using pair copula construction
• Estimating fibres' material parameter distributions from limited data with the help of Bayesian inference
• Time-varying joint distribution through copulas
• The joint distribution of stock returns is not elliptical
• Comparison study between {MCMC}-based and weight-based Bayesian methods for identification of joint distribution
• A compendium of copulas
• Fitting bivariate cumulative returns with copulas
• Efficient estimation of copula-GARCH models

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