Journal of Economics and Finance

, Volume 28, Issue 3, pp 285–299 | Cite as

Return interval, dependence structure, and multivariate normality

  • Thierry Ané
  • Chiraz Labidi


We focus on changes in the multivariate distribution of index returns stemming purely from varying the return interval, assuming daily to quarterly returns. Whereas long-tailedness is present in daily returns, we find that, in agreement with a well-established idea, univariate return distributions converge to normality as the return interval is lengthened. Such convergence does not occur, however, for multivariate distributions. Using a new method to parametrically model the dependence structure of stock index returns, we show that the persistence of a dependence structure implying negative asymptotic dependence in return series is the reason for the rejection of multivariate normality for low return frequencies.


Marginal Distribution Dependence Structure Asset Return Multivariate Distribution Capital Asset Price Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Academy of Economics and Finance 2004

Authors and Affiliations

  • Thierry Ané
    • 1
  • Chiraz Labidi
    • 2
  1. 1.IESEG School of ManagementLileFrance
  2. 2.IHEC CarthageERECACarthage PrésidenceTunisia

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