Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function

References

• Abberger , K. ( 2005 ). A simple graphical method to explore tail-dependence in stock-return pairs . Applied Financial Economics 15 : 43 – 51 .
   Google Scholar
• Balakrishnan , N. ( 1992 ). Handbook of the Logistic Distribution . Statistics: a Series of Textbooks and Monographs . New York : Marcel Dekker, Inc.
   Google Scholar
• Barndorff-Nielsen , O. E. ( 1997 ). Normal inverse Gaussian distributions and the modeling of stock returns . Scandinavian Journal of Statistics 24 : 1 – 13 .
   Web of Science ®Google Scholar
• Bingham , N. H. , Schmidt , R. ( 2005 ). High-frequency data – interplay between distributional and temporal dependence . In: Kabanov , Y. , Lipster , R. , eds. From Stochastic Analysis to Mathematical Finance – Festschrift for A.N. Shiryaev . New York : Springer Verlag .
   Google Scholar
• Blomqvist , N. (1950). On a measure of dependence between two random variables. Annals of Mathematical Statistics 21:593–600.
   Google Scholar
• Bouyé , E. , Gaussel , N. , Salomon , M. ( 2002 ). Investigating dynamic dependence using copulae . Technical Report , Financial Econometrics Research Center .
   Google Scholar
• Capéraà , P. , Genest , C. ( 1993 ). Spearman's rho is larger than Kendall's tau for positively dependent random variables . Journal of Nonparametric Statistics 2 : 183 – 194 .
   Google Scholar
• Chen , X. , Fan , Y. ( 2006 ). Estimation of copula-based semiparametric time series models . Journal of Econometrics 130 : 307 – 335 .
   Web of Science ®Google Scholar
• Cherubini , U. , Luciano , E. , Vecchiato , W. ( 2004 ). Copulas Methods in Finance . Chichester : John Wiley & Sons .
   Google Scholar
• Cont , R. ( 2001 ). Empirical properties of asset returns: stylized facts and statistical issues . Quantitative Finance 1 : 223 – 236 .
   Web of Science ®Google Scholar
• Dagum , C. ( 1977 ). A new model of personal income distribution: specification and estimation . Economie Appliquée 30 : 413 – 437 .
   Google Scholar
• Dagum , C. ( 1980 ). The generation and distribution of income, the Lorenz curve and the Gini ratio . Economie Appliquée 33 : 327 – 367 .
   Google Scholar
• Davis , P. J. ( 1970 ). Gamma function and related functions . In: Abramowitz , M. , Stegun , I. A. , eds. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables . New York : John Wiley & Sons , pp. 253 – 293 .
   Google Scholar
• Domma , F. , Perri , P. F. ( 2009 ). Some developments on the log-Dagum distribution . Statistical Methods and Appplications , Vol. 18 . DOI:10.1007/s10260-007-0091-3, forthcoming .
   Google Scholar
• Embrechts , P. , Lindskog , F. , McNeil , A. ( 2003 ). Modeling dependence with copulas and applications to risk management . In: Rachev , S. T. , ed. Handbook of Heavy Tailed Distributions in Finance . Amsterdam : Elsevier, North Holland .
   Google Scholar
• Engle , R. F. ( 1982 ). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation . Econometrica 50 : 987 – 1008 .
   Web of Science ®Google Scholar
• Fama , E. F. ( 1971 ). Efficient capital markets: a review of theory and empirical work . Journal of Finance 25 : 383 – 417 .
   Web of Science ®Google Scholar
• Fama , E. F. ( 1991 ). Efficient capital markets II . Journal of Finance 46 : 1575 – 1613 .
   Web of Science ®Google Scholar
• Fisher , N. I. , Switzer , P. ( 1985 ). Chi-plots for assessing dependence . Biometrika 72 : 253 – 265 .
   Web of Science ®Google Scholar
• Fisher , N. I. , Switzer , P. ( 2001 ). Graphical assessment of dependence: is a picture worth 100 tests . The American Statisticians 55 : 233 – 239 .
   Web of Science ®Google Scholar
• Fischer , M. , Horn , A. , Klein , I. ( 2007 ). Tukey-type distributions in the context of financial data . Communications in Statistics – Theory and Methods 36 : 23 – 35 .
   Web of Science ®Google Scholar
• Frees , E. W. , Valdez , E. A. ( 1998 ). Understanding relationships using copulas . North American Actuarial Journal 2 : 1 – 25 .
   Google Scholar
• Genest , C. , Boies , J.-C . ( 2003 ). Detecting dependence with Kendall plots . The American Statistician 57 : 1 – 10 .
   Web of Science ®Google Scholar
• Hürlimann , W. ( 2004 ). Fitting bivariate cumulative returns with copulas . Computational Statistics and Data Analysis 45 : 355 – 372 .
   Web of Science ®Google Scholar
• Joe , H. ( 1997 ). Multivariate Models and Dependence Concepts . London : Chapman and Hall .
   Google Scholar
• Jones , M. C. , Faddy , M. J. ( 2003 ). A skew extension of the t-distribution, with applications . Journal of the Royal Statistical Society B 65 : 159 – 174 .
   Google Scholar
• Kleiber , C. , Kotz , S. ( 2003 ). Statistical Size Distribution in Economics and Actuarial Sciences . Hoboken , NJ : John Wiley & Sons .
   Google Scholar
• Klugman , S. A. , Parsa , R. ( 1999 ). Fitting bivariate loss distributions with copulas . Insurance: Mathematics and Economics 24 : 139 – 148 .
   Web of Science ®Google Scholar
• Lehmann , E. L. ( 1966 ). Some concepts of dependence . Annals of Mathematical Statistics 37 : 1137 – 1157 .
   Google Scholar
• McDonald , J. B. , Xu , Y. J. ( 1995 ). A generalization of the beta distribution with applications . Journal of Econometrics 66 : 132 – 152 .
   Web of Science ®Google Scholar
• Mendes , B. V. M. , Souza , R. M. ( 2004 ). Measuring financial risks with copulas . International Review of Financial Analysis 13 : 27 – 45 .
   Google Scholar
• Nelsen , R. B. (1999). An Introduction to Copulas . Lecture Notes in Statistics. New York : Springer.
   Google Scholar
• Pagan , A. ( 1996 ). The econometrics of financial markets . Journal of Empirical Finance 3 : 15 – 102 .
   Google Scholar
• Rachev , S. , Mittnik , S. ( 2000 ). Stable Paretian Models in Finance . New York : John Wiley & Sons .
   Google Scholar
• Savu , C. , Ng , W. L. ( 2005 ). The SCoD model: analyzing durations with a semiparametric copula approach . International Review of Finance 5 : 55 – 77 .
   Google Scholar
• Theodossiou , P. ( 1998 ). Financial data and the skewed generalized t distribution . Management Science 44 : 1650 – 1661 .
   Web of Science ®Google Scholar
• Töyli , J. , Faski , K. , Kanto , A. ( 2002 ). On the shape of asset returns distribution . Communications in Statistics – Simulation and Computations 31 : 489 – 521 .
   Web of Science ®Google Scholar