Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
AbstractIn 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 compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series.
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Bibliographic InfoPaper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 143.
Length: 18 pages
Date of creation: 2005
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-09-29 (All new papers)
- NEP-CFN-2005-09-29 (Corporate Finance)
- NEP-ETS-2005-09-29 (Econometric Time Series)
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