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- W3166355547 abstract "Correlation graphs are introduced to delineate the levels observed in data and models for return and squared return correlations. A sample of 2048 representative pairs of equity assets is selected from a possible collection of [Formula: see text] pairs by quantization. Five copulas are estimated and simulated on these pairs of returns, the Gaussian, t-copula, Clayton, Gumbel and Frank. Additionally, the multivariate bilateral gamma (MBG) model that introduces dependence via common time changes is also fit and simulated. Results of fit statistics on returns, CoSkew and CoKurtosis pairs are reported. The general ordering of the models is MBG, t-copula, followed by the Gaussian, Frank, Gumbel and Clayton copulas." @default.
- W3166355547 created "2021-06-22" @default.
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- W3166355547 date "2021-05-29" @default.
- W3166355547 modified "2023-09-26" @default.
- W3166355547 title "Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis" @default.
- W3166355547 doi "https://doi.org/10.1142/s2424786321500328" @default.
- W3166355547 hasPublicationYear "2021" @default.
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