Relation between higher order comoments and dependence structure of equity portfolio

被引：17

作者：

Cerrato, Mario ^{[1
]}

Crosby, John ^{[2
]}

Kim, Minjoo ^{[1
]}

Zhao, Yang ^{[3
,4
]}

机构：

[1] Univ Glasgow, Adam Smith Business Sch Econ, Glasgow G12 8QQ, Lanark, Scotland

[2] Univ Technol Sydney, Sch Business, Ultimo, NSW 2007, Australia

[3] Jiangxi Univ Finance & Econ, Int Inst Financial Studies, Nanchang 330013, Jiangxi, Peoples R China

[4] Jiangxi Univ Finance & Econ, RCFMRP, Nanchang 330013, Jiangxi, Peoples R China

来源：

JOURNAL OF EMPIRICAL FINANCE | 2017年 / 40卷

关键词：

Higher order comoments; Dependence structure; Hyperbolic generalized skewed t copula; Generalized autoregressive score; Risk management; PRICING KERNELS; SKEWNESS; RETURNS; TESTS; VOLATILITY; COPULA; RISK;

D O I：

10.1016/j.jempfin.2016.11.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study a relation between higher order comoments and dependence structure of equity portfolio in the US and UK by relying on a simple portfolio approach where equity portfolios are sorted on the higher order comoments. We find that beta and coskewness are positively related with a copula correlation, whereas cokurtosis is negatively related with it. We also find that beta positively associates with an asymmetric tail dependence whilst coskewness negatively associates with it. Furthermore, two extreme equity portfolios sorted on the higher order comoments are closely correlated and their dependence structure is strongly time varying and nonlinear. Backtesting results of value-at-risk and expected shortfall demonstrate the importance of dynamic modeling of asymmetric tail dependence in the risk management of extreme events.

引用

页码：101 / 120

页数：20

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