Return interval, dependence structure, and multivariate normality

Thierry Ané () and Chiraz Labidi ()

Journal of Economics and Finance, 2004, vol. 28, issue 3, 285-299

Abstract: We focus on changes in the multivariate distribution of index returns stemming purely from varying the return interval, assuming daily to quarterly returns. Whereas long-tailedness is present in daily returns, we find that, in agreement with a well-established idea, univariate return distributions converge to normality as the return interval is lengthened. Such convergence does not occur, however, for multivariate distributions. Using a new method to parametrically model the dependence structure of stock index returns, we show that the persistence of a dependence structure implying negative asymptotic dependence in return series is the reason for the rejection of multivariate normality for low return frequencies. Copyright Academy of Economics and Finance 2004

Date: 2004
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DOI: 10.1007/BF02751733

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