This paper provides an innovative method to choose the prudent combination of the assets in portfolio, taking into account the sector co-movements of the MSCI World Sector Indices returns and considering, in the selecting procedure, measures of the tail dependence. In order to analyse the multivariate tail performance, a Copula-GARCH model has been proposed, applying a class of copula functions defined as Multivariate Biparametric (MB). In particular, the MB1 and MB7 copulae have been selected, because they allow to estimate both tail dependence in an asymmetric way.

Tail diversification strategy, An application to MSCI World Sector Indices

RIVIECCIO, GIORGIA
2012

Abstract

This paper provides an innovative method to choose the prudent combination of the assets in portfolio, taking into account the sector co-movements of the MSCI World Sector Indices returns and considering, in the selecting procedure, measures of the tail dependence. In order to analyse the multivariate tail performance, a Copula-GARCH model has been proposed, applying a class of copula functions defined as Multivariate Biparametric (MB). In particular, the MB1 and MB7 copulae have been selected, because they allow to estimate both tail dependence in an asymmetric way.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/25888
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