Detail
Raw data [ X ]
<section name="raw"> <SEQUENTIAL> <record key="001" att1="001" value="145722" att2="145722">001 145722</record> <field key="037" subkey="x">englisch</field> <field key="050" subkey="x">Forschungsbericht</field> <field key="076" subkey="">Ökonomie</field> <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-126.pdf</field> <field key="079" subkey="z">Fortin, Ines - et al., 331 Tail-Dependence in Stock-Return Pairs (pdf)</field> <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/126.html</field> <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 126 (RePEc)</field> <field key="100" subkey="">Fortin, Ines</field> <field key="103" subkey="">Department of Economics and Finance, Institute for Advanced Studies</field> <field key="104" subkey="a">Kuzmics, Christoph</field> <field key="107" subkey="">Faculty of Economics and Politics, University of Cambridge</field> <field key="331" subkey="">Tail-Dependence in Stock-Return Pairs</field> <field key="403" subkey="">1. Ed.</field> <field key="410" subkey="">Wien</field> <field key="412" subkey="">Institut für Höhere Studien</field> <field key="425" subkey="">2002, November</field> <field key="433" subkey="">31 pp.</field> <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 126</field> <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field> <field key="461" subkey="">Economics Series</field> <field key="517" subkey="c">from the Table of Contents: Introduction; Motivating Informal Evidence; Copula Choice; Model, Likelihood and Tests; Empirical</field> <field key="Res" subkey="u">lts; Conclusion;</field> <field key="542" subkey="">1605-7996</field> <field key="544" subkey="">IHSES 126</field> <field key="700" subkey="">C12</field> <field key="700" subkey="">C32</field> <field key="700" subkey="">C52</field> <field key="700" subkey="">C51</field> <field key="700" subkey="">G15</field> <field key="720" subkey="">Value-at-Risk</field> <field key="720" subkey="">Copula</field> <field key="720" subkey="">Non-normal bivariate GARCH</field> <field key="720" subkey="">Asymmetric dependence</field> <field key="720" subkey="">Profile likelihood-ratio test</field> <field key="753" subkey="">Abstract: The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and</field> <field key="low" subkey="">tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional)</field> <field key="joi" subkey="n">t normality. The presence of asymmetric-tail dependence is not compatible with the assumption of a joint student-t</field> <field key="dis" subkey="t">ribution. A general test for one dependence structure versus another via the profile-likelihood is described and employed in</field> <field key="a b" subkey="i">variate GARCH model, where the joint distribution of the disturbances is split into its marginals and its copula. The copula</field> <field key="use" subkey="d">is such that it allows for the presence of lower tail-dependence and for asymmetric tail-dependence, and that it encompasses</field> <field key="the" subkey="">normal or t-copula. The model is estimated using bivariate data on a set of European stock indices. We find that the</field> <field key="ass" subkey="u">mption of normal or student-t dependence is easily rejected in favour of an asymmetrically tail-dependent distribution.;</field> </SEQUENTIAL> </section> Servertime: 0.496 sec | Clienttime:
sec
|