Casellas, Oriol Roch; Escolano, Antonio Alegre - Facultat d'Economia i Empresa, Universitat de Barcelona - 2005
In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and...