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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004
Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...
Persistent link: https://www.econbiz.de/10010746302
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Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
Malevergne, Y.; Sornette, D. - EconWPA - 2001
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable … embrace blindly the Gaussian copula hypothesis, especially when the correlation coefficient between the pair of asset is too …
Persistent link: https://www.econbiz.de/10005134789
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On the out-of-sample importance of skewness and asymetric dependence for asset allocation
Patton, Andrew J. - London School of Economics (LSE) - 2002
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock...
Persistent link: https://www.econbiz.de/10011071238