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

DOI10.1080/14697688.2012.739726zbMATH Open1402.91926OpenAlexW2046342024MaRDI QIDQ5247934FDOQ5247934

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

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

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

Cites Work

• Copula model evaluation based on parametric bootstrap
• An introduction to copulas.
• A simulation-based method for model evaluation
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Goodness-of-fit tests for copulas
• Copula modeling: An introduction for practitioners
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Correlations and Copulas for Decision and Risk Analysis
• Using copulae to bound the value-at-risk for functions of dependent risks
• Autoregressive Conditional Density Estimation
• Extreme Financial Risks
• Improving financial risk assessment through dependency

Cited In (6)

• Spatial contagion between financial markets: new evidence of asymmetric measures
• Forecasting VaR and ES of stock index portfolio: a vine copula method
• Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas
• The shifting dependence dynamics between the G7 stock markets
• Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
• Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk

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