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2006-11-14Diskussionspapier DOI: 10.18452/4005
Inhomogeneous Dependency Modelling with Time Varying Copulae
dc.contributor.authorGiacomini, Enzo
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorIgnatieva, Ekaterina
dc.contributor.authorSpokoiny, Vladimir
dc.date.accessioned2017-06-15T23:17:50Z
dc.date.available2017-06-15T23:17:50Z
dc.date.created2006-11-16
dc.date.issued2006-11-14
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4657
dc.description.abstractMeasuring dependence in a multivariate time series is tantamount to modelling its dynamicstructure 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 nonlinear (i.e. non-gaussian) dependency. The correct modelling of non-gaussian dependencies is therefore a key issue in the analysis of multivariate time series. In this paper we use copulaefunctions 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 a portfolio and show its better performance over the RiskMetrics approach, a widely used methodology for VaR estimation.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectadaptive estimationeng
dc.subjectValue-at-Riskeng
dc.subjectnonparametric estimationeng
dc.subjecttime varying copulaeng
dc.subject.ddc330 Wirtschaft
dc.titleInhomogeneous Dependency Modelling with Time Varying Copulae
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10070774
dc.identifier.doihttp://dx.doi.org/10.18452/4005
dc.subject.dnb17 Wirtschaft
local.edoc.pages51
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2006
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2006,75

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