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.

Taiwan, Product information, Corporate Profits, Testing, Profit, Profits

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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.

United States, Science & research, Research, Volatility (Finance)

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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.

Sweden, Inflation (Finance), Consumption (Economics), Income, Autoregression (Statistics), Inflation (Economics)

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