Exceedance Correlation Tests for Financial Returns
提出一种广义检验方法，用于无模型框架下检查金融收益的条件相关结构，并开发简单检验评估模型对条件相关性的解释能力，通过模拟和实证验证其有效性。
It has become popular to explore the static conditional correlation structure of financial returns by using the exceedance correlations or similar measures. In this article, we propose a generalized test which is applicable to checking various conditional correlation structures in a model-free context, and apply a newly developed method to establishing a simple test for evaluating the adequacy of a model in explaining the conditional correlations. We demonstrate that our tests can generate useful alternatives to existing exceedance correlation tests, and provide a simulation study and an empirical example to show the validity and applicability of our tests.