ABSTRACT

We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against generalized hyperbolic alternatives, including symmetric and asymmetric Student t, and many other examples. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogs, whose standard asymptotic distribution we provide. Our Monte Carlo exercises confirm the reliable size of parametric bootstrap versions of our tests, and their substantial power gains over alternative procedures. In an empirical application to CRSP stocks, we find that short-term reversals and momentum effects are better captured by non-Gaussian copulas, whose parameters we estimate by indirect inference. Supplementary materials for this article are available online.

摘要

我们针对高斯copula的分数测试针对广义双曲备选方案（包括对称和非对称Student t）以及许多其他示例，得出了计算简单直观的表达式。我们将测试分解为三阶和四阶矩分量，并获得单边似然比类似物，我们提供其标准渐近分布。我们的蒙特卡洛练习证实了我们测试的参数引导程序版本的可靠大小，以及它们在替代程序上的大量功率获取。在对CRSP股票的经验应用中，我们发现非高斯copulas可以更好地捕捉短期反转和动量效应，我们可以通过间接推断来估计其参数。可在线获得本文的补充材料。