Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

DOI10.1016/j.csda.2005.11.007zbMath1157.62526OpenAlexW2000033743MaRDI QIDQ1010475

Oriol Roch, Antonio Alegre

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/12027

zbMATH Keywords

copulasrisk managementbivariate chi-square statisticdaily equity returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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