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Modeling high dimensional asset pricing returns using a dynamic skewed Copula Model

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..

Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Penerbit Bulletin of Monetary Economics and Banking.,
Edisi -
Subjek Asset pricing
Multivariate dependence
Skewed copula
Dynamic model
High dimensions
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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