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Decomposition of bivariate inequality indices by attributes

Abul Naga, Ramses H.; Geoffard, Pierre-Yves - London School of Economics (LSE) - 2006

We provide, for the class of relative bidimensional inequality indices, a decomposition of inequality into two univariate Atkinson-Kolm-Sen indices and a third statistic which depends on the joint distribution of resources.

Persistent link: https://www.econbiz.de/10010928684

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

and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this … recommended for testing the dependence structure between a small number of assets. The second test may not be consistent against … the dependence structure between a large number of assets. We justify our tests for both observable multivariate strictly …

Persistent link: https://www.econbiz.de/10010746302

On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Patton, Andrew J. - London School of Economics (LSE) - 2002

asymmetry in the dependence between stocks: stock returns appear to be more highly correlated during market downturns than … construct models of the time-varying dependence structure that allow for greater dependence during bear markets than bull … performance measures and levels of risk aversion our results suggest that capturing skewness and asymmetric dependence leads to …

Persistent link: https://www.econbiz.de/10011071238

A quantilogram approach to evaluating directional predictability

Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...

Persistent link: https://www.econbiz.de/10010928727