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Dependence structures in financial time series: a chaos-theoretic approach

Wolff, Rodney C. (2004) Dependence structures in financial time series: a chaos-theoretic approach. In Pan, H., Sornette, D., & Kortanek, K. (Eds.) Intelligent Finance - a Convergence of Financial Mathematics with Technical and Fundamental Analysis, 13-14 December 2004, Melbourne.

Abstract

Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series. An approach to model their joint behaviour is to use copulae. Essentially, copulae are selected on the basis of a measure of correlation between the two series and are made to match their marginal properties. Of course, generalisations exist for more than two series. A possible limitation of this approach is that only linear correlations between series might be captured. We consider incorporating more general dependence structures, through the use of the correlation integral (as in the BDS test), as a means to refine the choice of candidate copulae in an empirical situation.

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ID Code: 5931
Item Type: Conference Paper
Additional URLs:
Keywords: Archimedean copula, copula, correlation integral, dependence, Poisson convergence
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2004 (please consult author)
Deposited On: 05 Jan 2007
Last Modified: 29 Feb 2012 23:09

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