Common factors in conditional distributions for bivariate time series
AbstractA definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula,ï¿½with the conditioning variable being a common factor if it does not directly enter the copula.ï¿½ The links of this definition with a common factor being a dominant feature in standard linear representations is shown. An application using a business cycle indicator as the common factor in the relationship between U.S. income and consumption found that both series held the factorï¿½ in their marginals but not in the copula.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 132 (2006)
Issue (Month): 1 (May)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Granger, C. W. J., 1987. "Implications of Aggregation with Common Factors," Econometric Theory, Cambridge University Press, vol. 3(02), pages 208-222, April.
- Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
- Hansen, B.E., 1992.
"Autoregressive Conditional Density Estimation,"
RCER Working Papers
322, University of Rochester - Center for Economic Research (RCER).
- Wallis, Kenneth F., 2002.
"Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts,"
Royal Economic Society Annual Conference 2002
181, Royal Economic Society.
- Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 165-175.
- Kenneth F. Wallis, 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 083, European Central Bank.
- White,Halbert, 1994.
"Estimation, Inference and Specification Analysis,"
Cambridge University Press, number 9780521252805.
- Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00368334, HAL.
- Fantazzini, Dean, 2008. "Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 11(3), pages 87-122.
- Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
- Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, School of Economics and Management, University of Aarhus.
- repec:hal:journl:halshs-00189141 is not listed on IDEAS
- repec:hal:journl:halshs-00368336 is not listed on IDEAS
- repec:hal:journl:halshs-00368334 is not listed on IDEAS
- Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
- Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008.
"Increasing correlations or just fat tails?,"
Journal of Empirical Finance,
Elsevier, vol. 15(2), pages 287-309, March.
- Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19568, Maastricht University.
- Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario A. Maggi, 2009.
"A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting,"
Quaderni di Dipartimento
105, University of Pavia, Department of Economics and Quantitative Methods.
- Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2010. "A copula-VAR-X approach for industrial production modelling and forecasting," Applied Economics, Taylor and Francis Journals, vol. 42(25), pages 3267-3277.
- Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 10(2), pages 91-137.
- Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
- Param Silvapulle & Xibin Zhang, 2006. "Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures," Monash Econometrics and Business Statistics Working Papers 9/06, Monash University, Department of Econometrics and Business Statistics.
- Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
- Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
- repec:hal:journl:halshs-00375765 is not listed on IDEAS
- Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00368336, HAL.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.