The structure and degree of dependence: A quantile regression approach

Research output: Contribution to journalArticle

93 Citations (Scopus)

Abstract

The copula function defines the degree of dependence and the structure of dependence. This paper proposes an alternative framework to decompose the dependence using quantile regression. We demonstrate that the methodology provides a detailed picture of dependence including asymmetric and non-linear relationships. In addition, changes in the degree or structure of dependence can be modeled and tested for each quantile of the distribution. The empirical part applies the framework to three different sets of financial time-series and demonstrates substantial differences in dependence patterns among asset classes and through time. The analysis of 54 global equity markets shows that detailed information about the structure of dependence is crucial to adequately assess the benefits of diversification in normal times and crisis times. © 2012 Elsevier B.V.
Original languageEnglish
Pages (from-to)786-798
JournalJournal of Banking and Finance
Volume37
Issue number3
DOIs
Publication statusPublished - 2013

Fingerprint Dive into the research topics of 'The structure and degree of dependence: A quantile regression approach'. Together they form a unique fingerprint.

Cite this