Abstract
By means of goodness-of-fit tests, it is analyzed for a multitude of portfolios consisting of different asset classes whether the stochastic dependence between the portfolios’ constituents can be adequately described by multivariate versions of some standard parametric copula functions. Furthermore, it is tested whether the stochastic dependence between the returns of different asset classes has changed during the recent financial crisis.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
K. Aas, C. Czado, A. Frigessi, and H. Bakken. “Pair-copula constructions of multiple dependence”. Insurance: Mathematics and Economics, 44(2): 182–198, 2009.
D. Berg. “Copula goodness-of-fit testing: an overview and power comparison”. European Journal of Finance, 15(7&8): 675–701, 2009.
W. Breymann, A. Dias, and P. Embrechts. “Dependence structures for multivariate high-frequency data in finance”. Quantitative Finance, 3: 1–14, 2003.
U. Cherubini, E. Luciano, and W. Vecciato. “Copula methods in finance”. Wiley, Chichester, 2004.
S. Demarta and A.J. McNeil. The t copula and related copulas. “International Statistical Review”, 73(1): 111–129, 2005.
J. Dobrić and F. Schmid. “A goodness of fit test for copulas based on Rosenblatt’s transformation”. Computational Statistics & Data Analysis, 51(9): 4633–4642, 2007.
C. Genest and B. Rémillard. “Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models”. Annales de l’Institut Henri Poincaré – Probabilités et Statis-tiques, 44(6): 1096–1127, 2008.
C. Genest, B. Rémillard, and D. Beaudoin. “Goodness-of-fit tests for copulas: A review and a power study”. Insurance: Mathematics and Ecnomics, 44: 199–214, 2009
P. Grundke. “Changing default risk dependencies during the subprime crisis: DJ iTraxx subindices and goodness-of-fit-testing for copulas”. Review of Managerial Science, 4(2): 91–118, 2010.
L. Hu. “Dependence patterns across financial markets: a mixed copula approach”. Applied Financial Economics, 16: 717–729, 2006.
H. Joe. “Multivariate models and dependence concepts”. Chapman & Hall, London, 1997.
A.J. McNeil, R. Frey, and P. Embrechts. “Quantitative Risk Management”. Princeton University Press, Princeton and Oxford, 2005.
R.B. Nelson. “An introduction to copulas. (2nd ed.)”. Springer, New York, 2006.
A. Patton. “Modelling asymmetric exchange rate dependence”. International Economic Review, 47(2): 527–556, 2006.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2011 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Grundke, P., Dieckmann, S. (2011). Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis. In: Hu, B., Morasch, K., Pickl, S., Siegle, M. (eds) Operations Research Proceedings 2010. Operations Research Proceedings. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-20009-0_17
Download citation
DOI: https://doi.org/10.1007/978-3-642-20009-0_17
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-20008-3
Online ISBN: 978-3-642-20009-0
eBook Packages: Business and EconomicsBusiness and Management (R0)