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Koedijk, Kees; Kole, Erik; Verbeek, Marno - C.E.P.R. Discussion Papers - 2006

an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing …, indirect tests, these tests can be applied to any copula of any dimension and are based on a direct comparison of a given … copula with observed data. For a portfolio consisting of stocks, bonds and real estate, these tests provide clear evidence in …

Persistent link: https://www.econbiz.de/10005792215

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2005

We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the...

Persistent link: https://www.econbiz.de/10005124228

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Commodity and Equity Markets: Some Stylized Facts from a Copula Approach

Delatte, Anne-Laure; Lopez, Claude - C.E.P.R. Discussion Papers - 2013

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Persistent link: https://www.econbiz.de/10011084009