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

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Title: Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
Authors: Roch, Oriol oroch@ub.edu, Alegre, Antonio1
Source: Computational Statistics & Data Analysis. Nov2006, Vol. 51 Issue 2, p1312-1329. 18p.
Subjects: Stocks (Finance), Copula functions, Chi-squared test, Stock exchanges
Abstract: Abstract: The problem of the identification of dependencies between time series of equity returns is analyzed. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several marginal models and families of copulas are fitted and compared with Spanish stock market data. The results show the difficulty in adjusting the bivariate distribution of raw returns, and highlight the effect of a GARCH filtering in the selection of the best fitting copula. [Copyright &y& Elsevier]
Copyright of Computational Statistics & Data Analysis is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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Header DbId: egs
DbLabel: Engineering Source
An: 22949988
AccessLevel: 6
PubType: Periodical
PubTypeId: serialPeriodical
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  Data: Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
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  Data: <searchLink fieldCode="AR" term="%22Roch%2C+Oriol%22">Roch, Oriol</searchLink><i> oroch@ub.edu</i><br /><searchLink fieldCode="AR" term="%22Alegre%2C+Antonio%22">Alegre, Antonio</searchLink><relatesTo>1</relatesTo>
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  Data: <searchLink fieldCode="JN" term="%22Computational+Statistics+%26+Data+Analysis%22">Computational Statistics & Data Analysis</searchLink>. Nov2006, Vol. 51 Issue 2, p1312-1329. 18p.
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  Data: <searchLink fieldCode="DE" term="%22Stocks+%28Finance%29%22">Stocks (Finance)</searchLink><br /><searchLink fieldCode="DE" term="%22Copula+functions%22">Copula functions</searchLink><br /><searchLink fieldCode="DE" term="%22Chi-squared+test%22">Chi-squared test</searchLink><br /><searchLink fieldCode="DE" term="%22Stock+exchanges%22">Stock exchanges</searchLink>
– Name: Abstract
  Label: Abstract
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  Data: Abstract: The problem of the identification of dependencies between time series of equity returns is analyzed. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several marginal models and families of copulas are fitted and compared with Spanish stock market data. The results show the difficulty in adjusting the bivariate distribution of raw returns, and highlight the effect of a GARCH filtering in the selection of the best fitting copula. [Copyright &y& Elsevier]
– Name: AbstractSuppliedCopyright
  Label:
  Group: Ab
  Data: <i>Copyright of Computational Statistics & Data Analysis is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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      – Type: doi
        Value: 10.1016/j.csda.2005.11.007
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      – Code: eng
        Text: English
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        PageCount: 18
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      – SubjectFull: Stocks (Finance)
        Type: general
      – SubjectFull: Copula functions
        Type: general
      – SubjectFull: Chi-squared test
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      – SubjectFull: Stock exchanges
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      – TitleFull: Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
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            NameFull: Roch, Oriol
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            NameFull: Alegre, Antonio
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              Text: Nov2006
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              Y: 2006
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