کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084603 | 1477905 | 2016 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper considers a new approach of analyzing asset dependence by estimating how the distributions (in particular, quantiles) of assets are related. Combining the techniques of quantile regression and copula modeling, I propose the Copula Quantile-on-Quantile Regression approach to estimate the correlation that is associated with the quantiles of asset returns, which is able to uncover obscure nonlinear characteristics in asset dependence. The estimation procedure proposed here can also be used for analyzing dependence structures in other settings, such as for studying how macroeconomic covariates are nonlinearly related by looking at the relationship between their quantiles.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 48, December 2016, Pages 31-45
Journal: International Review of Financial Analysis - Volume 48, December 2016, Pages 31-45
نویسندگان
Nicholas Sim,