N ov 2 00 1 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences ∗

@inproceedings{Malevergne2003NO2,
  title={N ov 2 00 1 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences ∗},
  author={Yannick Malevergne and Didier Sornette},
  year={2003}
}
Using one of the key property of copulas that they remain inva r ant under an arbitrary monotonous change of variable, we investigate the null hypo thesis that the dependence between financial assets can be modeled by the Gaussian copula. We find that most pairs of currencies and pairs of major stocks are compatible with the Gaussian co pula hypothesis, while this hypothesis can be rejected for the dependence between pairs of commodities (metals). Notwithstanding the apparent qualification of… CONTINUE READING

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