Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

DOI10.1080/14697688.2012.739726zbMath1402.91926OpenAlexW2046342024MaRDI QIDQ5247934

Michael J. Dueker, Osvaldo C. Silva Filho, Flávio Augusto Ziegelmann

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.739726

zbMATH Keywords

bootstrap testvalue at risk (VaR)asymmetric dependencetime-varying copulasskewed-\(t\) GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Bootstrap, jackknife and other resampling methods (62F40)

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