Artikel
Copula-based factor models for multivariate asset returns
Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the dependence of unobserved multivariate factors resulting from two dynamic factor models. However, the proposed methodology is general and applicable to several factor models as well as to other copula models for stationary multivariate time series. An empirical study illustrates the forecasting superiority of our approach for constructing an optimal portfolio of U.S. industrial stocks in the mean-variance framework.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 2 ; Pages: 1-24 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Financial Econometrics
Forecasting Models; Simulation Methods
Econometric and Statistical Methods and Methodology: General
General Financial Markets: General (includes Measurement and Data)
- Thema
-
COPAR model
dynamic factor model
multivariate time series
optimal mean-variance portfolio
vine copula
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ivanov, Eugen
Min, Aleksey
Ramsauer, Franz
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2017
- DOI
-
doi:10.3390/econometrics5020020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Ivanov, Eugen
- Min, Aleksey
- Ramsauer, Franz
- MDPI
Entstanden
- 2017
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