Arbeitspapier
De copulis non est disputandum Copulae: An overview
Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate model provide better results than those based on the normal distribution.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2009,031
- Classification
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Econometric Modeling: General
- Subject
-
copula
multivariate distribution
value-at-risk
multivariate dependence
Kopula (Mathematik)
Multivariate Analyse
Zeitreihenanalyse
Value at Risk
Portfolio-Management
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Härdle, Wolfgang Karl
Okhrin, Ostap
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Härdle, Wolfgang Karl
- Okhrin, Ostap
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2009
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Estimation of the dependence parameter in bivariate archimedean copula models under misspecification
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