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2009-05-29Buch DOI: 10.18452/4196
De copulis non est disputandum
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorOkhrin, Ostap
dc.date.accessioned2017-06-15T23:56:35Z
dc.date.available2017-06-15T23:56:35Z
dc.date.created2010-04-30
dc.date.issued2009-05-29
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4848
dc.description.abstractNormal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate model provide better results than those based on the normal distribution.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcopulaeng
dc.subjectmultivariate distributioneng
dc.subjectvalue-at-riskeng
dc.subjectmultivariate dependenceeng
dc.subject.ddc330 Wirtschaft
dc.titleDe copulis non est disputandum
dc.typebook
dc.subtitleCopulae: An Overview
dc.identifier.urnurn:nbn:de:kobv:11-100109932
dc.identifier.doihttp://dx.doi.org/10.18452/4196
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages30
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue31
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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