Dependence of Stock Returns in Bull and Bear Markets

DOI10.2478/demo-2013-0005OpenAlexW2063132680MaRDI QIDQ5417592

Gabriel Frahm, Friedrich Schmid, Jadran Dobrić

Publication date: 21 May 2014

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/demo-2013-0005

zbMATH Keywords

copulasMonte Carlo simulationstock returnsbootstrappingPearson's rhobear marketbull marketconditional Spearman's rho

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (5)

Measures of tail asymmetry for bivariate copulas ⋮ Asymmetry in tail dependence in equity portfolios ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Copulas, diagonals, and tail dependence ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities

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• On blocking rules for the bootstrap with dependent data
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