The Copula-GARCH model of conditional dependencies: An international stock market application
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
A Copula-GARCH Model of Conditional Dependencies: Estimating Tehran Market Stock Exchange Value-at-Risk
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered condi...
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1. Methods and application Several studies in empirical finance literature have highlighted the importance of allowing for skewness, tail-fatness, non normality of returns for asset allocation and pricing models. Moreover, the dependence between returns, that can impact portfolio decisions, often exhibits nonlinear structures and asymmetric extremal behavior that the usual correlation coefficie...
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We analyze the statistical dependence structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange’s TAQ database. Instead of using a given parametric copulawith a predetermined shape, we study the empirical pairwise copula directly. We find that the shape of this copula resembles the Gaussian copula to somedegree, but exhibit...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2006
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2006.04.007