Abstract
The empirical performance of cointegration and copula asset allocation techniques are compared against that of the market. Multivariate copula structures are used to derive index-tracking portfolios which are then compared with that of portfolios constructed using cointegration techniques. The results suggest that modelling the long-term relationships between stocks by means of the cointegration approach do not consistently lead to portfolios that outperform the benchmark. Using a short-term asset allocation approach, such as the copula-simulation approach, lead to portfolios that perform at least as well as the cointegration portfolios.
| Original language | English |
|---|---|
| Pages (from-to) | 1-28 |
| Number of pages | 28 |
| Journal | Journal for Studies in Economics and Econometrics |
| Volume | 37 |
| Issue number | 1 |
| Publication status | Published - 2013 |
ASJC Scopus subject areas
- Economics and Econometrics