The joint distribution of stock returns is not elliptical
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DOI: 10.1142/S0219024912500197
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Cited by:
- Gambacciani, Marco & Paolella, Marc S., 2017. "Robust normal mixtures for financial portfolio allocation," Econometrics and Statistics, Elsevier, vol. 3(C), pages 91-111.
- Jonathan Raimana Chan & Thomas Huckle & Antoine Jacquier & Aitor Muguruza, 2021. "Portfolio optimisation with options," Papers 2111.12658, arXiv.org, revised Sep 2024.
- Petr Koldanov & Nina Lozgacheva, 2016. "Multiple Testing Of Sign Symmetry For Stock Return Distributions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-14, December.
- Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev, 2019.
"Option Pricing With Heavy-Tailed Distributions Of Logarithmic Returns,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-35, November.
- Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev, 2018. "Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns," Papers 1807.01756, arXiv.org, revised Apr 2019.
- Donald Geman & H'elyette Geman & Nassim Nicholas Taleb, 2014. "Tail Risk Constraints and Maximum Entropy," Papers 1412.7647, arXiv.org.
- Koldanov, A. & Koldanov, P. & Semenov, D., 2021. "Confidence set for connected stocks of stock market," Journal of the New Economic Association, New Economic Association, vol. 50(2), pages 12-34.
- Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
- Broda, Simon A. & Krause, Jochen & Paolella, Marc S., 2018. "Approximating expected shortfall for heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 184-203.
- Fung, Thomas & Seneta, Eugene, 2016. "Tail asymptotics for the bivariate skew normal," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 129-138.
- R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "A nested factor model for non-linear dependences in stock returns," Papers 1309.3102, arXiv.org.
- Fung, Thomas & Seneta, Eugene, 2014. "Convergence rate to a lower tail dependence coefficient of a skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 62-72.
- Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.
- Petr Koldanov, 2019. "Testing new property of elliptical model for stock returns distribution," Papers 1907.10306, arXiv.org.
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Keywords
Copulas; stock returns; multivariate distribution; linear correlation; non-linear dependences; Student distribution; elliptical distributions;All these keywords.
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