| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10809 |
| DP10809 Is a normal copula the right copula? | |
| ENRIQUE SENTANA; Dante Amengual | |
| 发表日期 | 2015-09-06 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalised Hyperbolic alternatives, including symmetric and asymmetric Student t, and Hermite polynomial expansions. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogues, whose asymptotic distribution we provide. We conduct Monte Carlo exercises to assess the finite sample properties of asymptotic and bootstrap versions of our tests. In an empirical application to CRSP stocks, we find that short-term reversals and momentum effects are better captured by non-Gaussian copulas. We estimate their parameters by indirect inference, and devise successful trading strategies. |
| 主题 | Financial Economics |
| 关键词 | Cokurtosis Coskewness indirect inference Kuhn-tucker test Momentum strategies Non-linear dependence Short-term reversals Supremum test Underidentified parameters |
| URL | https://cepr.org/publications/dp10809 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539639 |
| 推荐引用方式 GB/T 7714 | ENRIQUE SENTANA,Dante Amengual. DP10809 Is a normal copula the right copula?. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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