Moment-Based Copula Tests for Financial Returns
Bibliographic Data
| ID | 19419905 |
|---|---|
| Authors | Yi‐Ting Chen (0000-0002-0063-4965, Institute of Economics, Academia Sinica, corresponding author), Yi-Ting Chen (0009-0000-6537-8926) |
| Year | 2007 |
| Volume | 25 |
| Issue | 4 |
| Pages | 377-397 |
| Publication date | 2007-10-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500107000000115 |
| OpenAlex | W1968880344 |
| Language | EN |
| Citations received | 1 |
| References cited | 37 |
We propose a class of moment-based tests for copulas in a parametric multivariate dynamic context for financial returns. The proposed method takes into account the effect of estimation uncertainty. This effect is quite important but often is ignored in related studies. Our method can be applied to generate various tests to detect copula misspecification in different directions. In particular, on the basis of the conditional probabilities of quantile exceedances (Kendall's tau), it generates the tail-dependence tests (the concordance test) that can be used to investigate whether the copula being tested is suitable for characterizing the true tail dependence (concordance) structure. Such tests may be useful for exploring the cross-dependence structures of financial returns that are essential for risk management and other purposes. The Monte Carlo simulation supports the validity of our method. As a demonstrative application, we also apply these tests to an empirical study of stock market relationships
Econometrics · Monte Carlo method · Multivariate statistics · Parametric statistics · Quantile · Statistical hypothesis testing · Statistics · Tail dependence · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics
Asymptotic theory for econometricians
Multivariate GARCH models
Conditional Heteroskedasticity in Asset Returns
On a measure of lack of fit in time series models
Multivariate Simultaneous Generalized ARCH
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Modelling Asymmetric Exchange Rate Dependence
Generalized autoregressive conditional heteroskedasticity
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
Dynamic Conditional Correlation
Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management
Modelling the Coherence in Short-Run Nominal Exchange Rates
Testing Parametric Conditional Distributions of Dynamic Models
A Capital Asset Pricing Model with Time-Varying Covariances
Estimation, Inference and Specification Analysis
| Citations per year | 0.09 |
|---|---|
| Citation span | 2015 - 2015 (1) |
| Highly cited | No |