Modelling high dimensional asset pricing returns using a dynamic skewed copula model
Yuting Gong, Jufang Liang, Jie Zhu (Bank Indonesia Insitute, 2019)
|
ABSTRACT We propose a dynamic skewed copula to model multivariate dependence in asset returns in a flexible yet parsimonious way. We then apply the model to 50 exchange traded funds. The new copula is shown to have better in sample and out of sample performance than existing copulas. In particular, the dynamic model is able to capture increasing dependence patterns during financial crisis periods. It is crucial for investors to take dynamic dependence structure into account when modeling high dimensional returns. |
No. Panggil : | 332 BEMP 22:1 (2019) |
Entri utama-Nama orang : | |
Entri tambahan-Nama orang : | |
Subjek : | |
Penerbitan : | Jakarta: Bank Indonesia Insitute, 2019 |
Sumber Pengatalogan : | LibUI ind rda |
ISSN : | 14108046 |
Majalah/Jurnal : | Bulletin of Monetary Economics and Banking |
Volume : | Vol. 22, No. 1, April 2019: Hal. 1-28 |
Tipe Konten : | text |
Tipe Media : | unmediated |
Tipe Carrier : | volume |
Akses Elektronik : | |
Institusi Pemilik : | Universitas Indonesia |
Lokasi : | Perpustakaan UI, Lantai 4, R. Koleksi Jurnal |
No. Panggil | No. Barkod | Ketersediaan |
---|---|---|
332 BEMP 22:1 (2019) | 03-19-146795163 | TERSEDIA |
Ulasan: |
Tidak ada ulasan pada koleksi ini: 20497459 |