Inhomogeneous dependence modelling with time varying copulae
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1273 | |
dc.contributor.author | Giacomini, Enzo | |
dc.contributor.author | Härdle, Wolfgang | |
dc.contributor.author | Spokoiny, Vladimir | |
dc.date.accessioned | 2016-03-24T17:38:19Z | |
dc.date.available | 2019-06-28T08:02:48Z | |
dc.date.issued | 2007 | |
dc.description.abstract | Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of applications, though, requires a modelling framework different from the multivariate normal. In risk management the non-normal behaviour of most financial time series calls for non-Gaussian dependence. The correct modelling of non-Gaussian dependences is therefore a key issue in the analysis of multivariate time series. In this paper we use copulae functions with adaptively estimated time varying parameters for modelling the distribution of returns, free from the usual normality assumptions. Further, we apply copulae to estimation of Value-at-Risk (VaR) of portfolios and show their better performance over the RiskMetrics approach, a widely used methodology for VaR estimation. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/2545 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1922 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.title | Inhomogeneous dependence modelling with time varying copulae | eng |
dc.type | report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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