Conditional Dependency of Financial Series: An Application of Copulas.

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find strong evidence of persistence in dependency both for local currency and $ US denominated series.

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Year of publication:	2001
Authors:	Rockinger, M. ; Jondeau, E.
Institutions:	Banque de France
Subject:	STOCK MARKET \| INDICES \| PRICING \| MODELS

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Series:	Banque de France - Direction Generale des Etudes.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C51 - Model Construction and Estimation ; F37 - International Finance Forecasting and Simulation ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005487057