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- W3207884705 abstract "A copula based statistical method for fitting joint cumulative returns between a market index and a single stock to daily data is proposed. Modifying the method of inference functions for margins (IFM method), one performs two separate maximum likelihood estimations of the univariate marginal distributions, assumed to be normal inverse gamma mixtures with kurtosis parameter equal to 6, followed by a minimization of the bivariate chi-square statistic associated to an adequate bivariate version of the usual Pearson goodness-of-fit test. The copula fitting results for daily cumulative returns between the Swiss Market Index and a stock in the index family for an approximate one-year period are quite satisfactory. The best overall fits are obtained for the new linear Spearman copula, as well as for the Frank and Gumbel-Hougaard copulas. Finally, a significant application to covariance estimation for the linear Spearman copula is discussed." @default.
- W3207884705 created "2021-10-25" @default.
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- W3207884705 date "2002-11-01" @default.
- W3207884705 modified "2023-10-18" @default.
- W3207884705 title "Fitting Bivariate Cumulative Returns with Copulas" @default.
- W3207884705 hasPublicationYear "2002" @default.
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