Artikel
Tail dependence in financial markets: A dynamic copula approach
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model's parameters and in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the accuracy of the forecasted VaR, in particular, if they are compared with the results obtained from Dynamic Conditional Correlation (DCC) model.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-14 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
copula functions
Monte Carlo simulation techniques
risk measures
- Ereignis
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Geistige Schöpfung
- (wer)
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Cortese, Federico Pasquale
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2019
- DOI
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doi:10.3390/risks7040116
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Cortese, Federico Pasquale
- MDPI
Entstanden
- 2019
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