Return Interval, Dependence Structure and Multivariate Normality

Thierry Ané and Chiraz Labidi

No 64, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

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 longtailedness 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 implying negative asymptotic dependence in return series is the reason for the rejection of multivariate normality for low return frequencies.

Keywords: multivatiave normality; return interval; dependence structure; copula (search for similar items in EconPapers)
JEL-codes: C13 C14 C52 G15 (search for similar items in EconPapers)
Date: 2001-09-01
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Published as: Ané, T. and Labidi, C., 2004. "Return Interval, Dependence Structure and Multivariate Normality", Journal of Economics and Finance, 28(1), 285-299.

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Journal Article: Return interval, dependence structure, and multivariate normality (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:64

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