Measuring asymmetries in financial returns : an empirical investigation using local gaussian correlation

摘要: A number of studies have provided evidence that financial returns exhibit asymmetric dependence, such as increased dependence during bear markets, but there seems to be no agreement how asymmetries should measured. We introduce the use a new measure local study this asymmetry. The central idea approach is approximate an arbitrary bivariate return distribution by family Gaussian distributions. At each point gives good approximation at point. correlation approximating taken in neighbourhood. does not suffer from selection bias conditional for data, and able capture nonlinear dependence. Analysing several US, UK, German French market, we confirm are explicitly quantify Finally, discuss risk management application, out possible extensions. 1 SNF Working Paper No 12/13