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Moment-Based Copula Tests for Financial Returns

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  • Chen, Yi-Ting

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  • Chen, Yi-Ting, 2007. "Moment-Based Copula Tests for Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 377-397, October.
    • Handle: RePEc:bes:jnlbes:v:25:y:2007:p:377-397
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    Cited by:

    1. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
    2. Yichen Gao & Yu Zhang & Ximing Wu, 2015. "Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index," Empirical Economics, Springer, vol. 48(1), pages 61-81, February.
    3. Polanski, Arnold & Stoja, Evarist, 2015. "Extreme risk interdependence," Bank of England working papers 563, Bank of England.
    4. Polanski, Arnold & Stoja, Evarist, 2016. "Extreme risk interdependence," ESRB Working Paper Series 12, European Systemic Risk Board.
    5. Henryk Gurgul & Robert Syrek, 2010. "Polish stock market and some foreign markets - dependence analysis by regime-switching copulas," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 8, pages 21-39.
    6. Yu-Sheng Lai, 2018. "Dynamic hedging with futures: a copula-based GARCH model with high-frequency data," Review of Derivatives Research, Springer, vol. 21(3), pages 307-329, October.
    7. Juan Lin & Ximing Wu, 2015. "Smooth Tests of Copula Specifications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 128-143, January.
    8. Tinkl, Fabian & Reichert, Katja, 2011. "Dynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns," FAU Discussion Papers in Economics 09/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    9. Smith Daniel R, 2009. "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-36, May.
    10. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.

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