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DC Field | Value | Language |
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dc.contributor.author | Roch, Oriol | cat |
dc.contributor.author | Alegre Escolano, Antonio | cat |
dc.date.accessioned | 2010-04-09T10:37:55Z | - |
dc.date.available | 2010-04-09T10:37:55Z | - |
dc.date.issued | 2005 | - |
dc.identifier.uri | http://hdl.handle.net/2445/12027 | - |
dc.description.abstract | In this paper we deal with the identification of dependencies between time series of equity returns. 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 families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series | eng |
dc.description.abstract | - En aquest article tracta amb la identificació de dependències entre sèries temporals de rendiments d'accions. Les distribucions marginals se suposen conegudes, i un test ji-quadrat bivariant s'aplica dins d'un enfocament totalment paramètric. Diverses famílies de còpules són ajustades i comparades amb dades de la borsa espanyola. Els resultats mostren que la t-còpula generalment supera altres estructures de dependència, i destaca la dificultat d¿ajustar un nombre significant de sèries temporals bivariants. | cat |
dc.format.extent | 204915 bytes | - |
dc.format.extent | 18 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | Universitat de Barcelona. Facultat d'Economia i Empresa | cat |
dc.relation.isformatof | Reproducció digital del document publicat a http://www.ere.ub.es/dtreball/E05143.rdf/view | cat |
dc.relation.ispartof | Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2005, E05/143 | cat |
dc.relation.ispartofseries | [WP E-Eco05/143] | - |
dc.rights | cc-by-nc-nd, (c) Roch et al., 2005 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | - |
dc.source | UB Economics – Working Papers [ERE] | - |
dc.subject.classification | Models economètrics | cat |
dc.subject.classification | Gestió del risc | cat |
dc.subject.other | Econometric models | eng |
dc.subject.other | Risk management | eng |
dc.title | Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market | eng |
dc.type | info:eu-repo/semantics/workingPaper | eng |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Matemàtica Econòmica, Financera i Actuarial) UB Economics – Working Papers [ERE] |
This item is licensed under a Creative Commons License