Copula function approaches for the analysis of serial and cross dependence in stock returns
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- 作者：Giorgia Rivieccio ; giorgia.rivieccio@uniparthenope.it" class="auth_mail" title="E-mail the corresponding author ; Giovanni De Luca giovanni.deluca@uniparthenope.it" class="auth_mail" title="E-mail the corresponding author
- 关键词：Copula function ; Sharpe ratio ; Vector AutoRegressive models
- 刊名：Finance Research Letters
- 出版年：2016
- 出版时间：May 2016
- 年：2016
- 卷：17
- 期：Complete
- 页码：55-61
- 全文大小：354 K
文摘
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The serial and cross dependence in stock returns is investigated.
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Linear and nonlinear VAR models are estimated making use of copula functions.
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The out-of-sample performances of portfolios, built using conditional and unconditional approaches, are compared in terms of Sharpe ratio.