Are the dependence structures of the DJIA and FTSE dependent on market trends?

Séries Temporais, Econometria e Finanças
Ciências Sociais Aplicadas

Autor(es) e Instituição:

Esteban Fernandez Tuesta

Lucy Vega Calero

José Carlos Simon de Miranda

Apresentador:

Esteban Fernandez Tuesta

In this work the dependence structure of the DJIA and FTSE indexes, as measured by their log-returns copula, will be studied conditionally to the presence of up and down trends in these markets. A hypothesis testing procedure, based on bootstrap sub sampling, is used to test the null hypothesis of equality of dependence structures in up and down trends.