Moment-based copula tests for financial returns
Article Abstract:
A class of moment-based copula tests in a parametric multivariate dynamic concept for financial returns is proposed. A Monte Carlo simulation is applied to establish the validity of the method. The normal and t copulas perform better than the Gumbel and Gumbel-survival copulas in describing cross-dependence structures in stock index returns.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
User Contributions:
Comment about this article or add new information about this topic:
Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation
Article Abstract:
A local Whittle quasi maximum likelihood estimator is proposed to estimate integration orders of regressors and errors and the co integration vector. The estimator is consistent under weak regularity conditions. A Monte Carlo study proves the feasibility of the estimator.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
User Contributions:
Comment about this article or add new information about this topic:
inference in panel cointegration models with long panels
Article Abstract:
A panel vector autoregressive model with co integration restrictions where the co integration relationship matrix is block diagonal is proposed. This model is tested empirically on the income, consumption, and inflation of two groups of countries.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting. Non-linear forecasts of stock returns
- Abstracts: The Condorcet efficiency of approval voting and the probability of electing the Condorcet loser. Implementation of voting operators
- Abstracts: Estimation of fractional dependent variables in dynamic panel data models with an application to firm dividend policy
- Abstracts: A comparison of the real-time performance of business cycle dating methods. Modelling around-the-clock price discovery for cross-listed stocks using state space methods