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  • Search: subject:"bivariate chi-square statistic"
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bivariate chi-square statistic 1 copulas 1 daily equity returns 1 risk management. 1
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Book / Working Paper 1
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Undetermined 1
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Casellas, Oriol Roch 1 Escolano, Antonio Alegre 1
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Facultat d'Economia i Empresa, Universitat de Barcelona 1
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Working Papers in Economics 1
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Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
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...
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