Arbeitspapier
Stock Market Asymmetries: A Copula Diffusion
The paper proposes a model for the dynamics of stock prices that incorporates increased asset co-movements during extreme market downturns in a continuous-time setting. The model is based on the construction of a multivariate diffusion with a pre-specified stationary density with tail dependence. I estimate the model with Markov Chain Monte Carlo using a sequential inference procedure that proves to be well-suited for the problem. The model is able to reproduce stylized features of the dependence structure and the dynamic behaviour of asset returns.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 12-125/IV/DSF45
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Model Construction and Estimation
Financial Econometrics
- Thema
-
tail dependence
multivariate diffusion
Markov Chain Monte Carlo
Kapitaleinkommen
Börsenkurs
Prognoseverfahren
Markovscher Prozess
Monte-Carlo-Methode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stefanova, Denitsa
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Stefanova, Denitsa
- Tinbergen Institute
Entstanden
- 2012
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