On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

By Andrew J. Patton. 2004

465 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e1e13691ad7b7247490d3930620448dd1a2e0386

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2007, methodology): “The DA preference is usually implemented based on a point estimator of the model parameters for asset return dynamics since the true parameters are unknown in practice. This plug-in approach ignores the estimation risk as the parameter estimates are subject to random sampling errors. Another desirab”
A review of copula models for economic time series (2012, background): “(as in Bollerslev [17]), the skewed t (as in Patton [118]), and others.”
Asymmetric power distribution: Theory and applications to risk measurement (2007, methodology): “…a, b and c are given by a D 1 /2 p 2p /2 1/ , b2 D 2 C 1/ 2 1 a2 and c D C 1 /2 √ 2 /2 (see Hansen, 1994; Fernandez and Steel, 1998; Giot and Laurent, 2004; Patton, 2004; Kuester et al., 2006; Paolella, 2006).21 The innovations density in equation (12) is standardized so E εt D 0 and E ε2t D 1.”
International diversification: A copula approach (2011, unknown): “Patton ( 2004 ) also doc uments that knowledge of this asymmetry leads to significant gains for investors who do not face short sales constraints .”
Copula-based multivariate GARCH model with uncorrelated dependent errors (2009, background): “This generalizes Equation 4 of Patton (2006). Note that even for”
Efficient Estimation of Semiparametric Multivariate Copula Models (2006, unknown): “…applications include those in finance and insurance (e.g., Frees and Valdez 1998; Embrechts, McNeil, and Straumann 2002), survival analysis (e.g., Joe 1997; Nelsen 1999; Oakes 1989), and econometrics (e.g., Lee 1983; Heckman and Honoré 1989; Granger, Teräsvirta, and Patton 2006; Patton 2004).”
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012, unknown): “See for example Black (1976) and Engle and Ng (1993).”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “3 Asymmetric correlations between financial markets in bear and bull periods have been documented by, among others, Erb et al. (1994), Ang and Bekaert (2002), and Patton (2004).”
Copula-Based Models for Financial Time Series (2009, background): “Patton (2004) considers a bivariate equity portfolio problem using copulas, and Garcia and Tsafack (2007) consider portfolio decisions involving four assets: stocks and bonds in two countries.”
Bayesian model selection for D‐vine pair‐copula constructions (2011, background): “Further recent econometric research work on copula models (e.g. Patton (2004)) show that copulas with parameters having time varying structure can capture the dependence structure better than copulas with constant parameters.”
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2010, background): “Finally, Jondeau and Rockinger (2003) and Patton (2004) have considered asset allocation models based on conditional models for higher-order moments of asset return distributions.”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, unknown): “For example, Longin & Solnik (2001), Ang & Chen (2002) and Patton (2006a) amongst others use exceedance correlation, which is defined as the correlation between two variables y1 and y2, conditional on both variables being above or below certain thresholds θ1 and θ2, respectively.”
The econometrics of mean-variance efficiency tests: a survey (2009, unknown): “In this sense, Patton (2004) uses a bivariate copula model to show the empirical importance of asymmetries in asset allocation.”