THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL
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Publication:2892977
DOI10.1142/S0219024912500197zbMath1241.91137arXiv1009.1100MaRDI QIDQ2892977
Rémy Chicheportiche, Jean-Philippe Bouchaud
Publication date: 25 June 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.1100
copulaselliptical distributionsstock returnsmultivariate distributionlinear correlationstudent distributionnon-linear dependences
Related Items (9)
Tail risk constraints and maximum entropy ⋮ MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS ⋮ Tail asymptotics for the bivariate skew normal ⋮ A nested factor model for non-linear dependencies in stock returns ⋮ Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution ⋮ Detecting departures from meta-ellipticity for multivariate stationary time series ⋮ Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS ⋮ Random matrix application to correlations amongst the volatility of assets
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- Simulating from Exchangeable Archimedean Copulas
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