The joint distribution of stock returns is not elliptical

International Journal of Theoretical and Applied Finance

Volumn 15, Issue 3, 2012, Pages

  Chicheportiche, Rémy ^a   Bouchaud, Jean Philippe ^a  

^a Capital Fund Management   (France)

Author keywords

Copulas; elliptical distributions; linear correlation; multivariate distribution; Non linear dependences; stock returns; Student distribution

Indexed keywords

EID: 84861869344     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024912500197     Document Type: Article

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