Skip Navigation

This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Denuit, M.
Right arrow Articles by Scaillet, O.
Right arrow Search for Related Content
Related Collections
Right arrow C32 - Time-Series Models
Right arrow G22 - Insurance; Insurance Companies
Right arrow G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Journal of Financial Econometrics Vol. 2, No. 3, pp. 422-450
Journal of Financial Econometrics, Vol. 2, No. 3, © Oxford University Press 2004; all rights reserved.

Nonparametric Tests for Positive Quadrant Dependence

Michel Denuit
     Université Catholique de Louvain

Olivier Scaillet
     HEC Genève and FAME

Address correspondence to Olivier Scaillet, University of Geneva, Bd Carl Vogt, 102, CH-1211 Geneva 4, Switzerland, or e-mail: scaillet{at}hec.unige.ch.

We consider distributional free inference to test for positive quadrant dependence, that is, for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent. Tests for its generalization to higher dimensions, namely positive orthant dependence, are also analyzed. We propose two types of testing procedures. The first procedure is based on the specification of the dependence concepts in terms of distribution functions, while the second procedure exploits the copula representation. For each specification, a distance test and an intersection-union test for inequality constraints are developed for time-dependent data. An empirical illustration is given for U.S. insurance claim data, where we discuss practical implications for the design of reinsurance treaties. Another application concerns detection of positive quadrant dependence between the HFR and CSFB/Tremont market neutral hedge fund indices and the S&P 500 index.

KEYWORDS: copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management

Received April 24, 2002; revised September 12, 2003; accepted April 7, 2004


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.