The description of the dynamic behavior of multiple time series represents an important point of departure to obtain accurate forecasts both in economic and financial analysis. We provide a method for the comparison of the out-of-sample performance of portfolios, respectively, ignoring and exploiting serial and cross dependence in stock returns. The serial and cross dependence is modeled using both the classical linear and easy-to-use Vector AutoRegressive and more sophisticated models making use of copula functions. After deriving the classical and copula-based VAR conditional expected returns and covariance, we construct different portfolios and compare them in terms of Sharpe ratio in an out-of-sample period.
|Titolo:||Copula function approaches for the analysis of serial and cross dependence in stock returns|
|Autori interni:||RIVIECCIO, GIORGIA|
|Data di pubblicazione:||2016|
|Rivista:||FINANCE RESEARCH LETTERS|
|Appare nelle tipologie:||1.1 Articolo in rivista|