Similar Search Results

Narrow search

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

Patton, Andrew J. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 130-168

Persistent link: https://www.econbiz.de/10002214229

Testable implications for forecast optimality

Patton, Andrew J. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002814634

Are "market neutral" hedge funds really market neutral?

Patton, Andrew J. - 2004

Persistent link: https://www.econbiz.de/10002815328

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

Patton, Andrew J. - 2003

Persistent link: https://www.econbiz.de/10001777017

Estimation of copula models for time series of possibly different lenghts

Patton, Andrew J. - 2001

Persistent link: https://www.econbiz.de/10001637762

Common factors in conditional distributions

Granger, C. W. J. (contributor); … - 2002 - [Elektronische Ressource]

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...