In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family is due to their ability to capture the tail dependence, which is an association measurewecan detect in many bivariate financial time-series.Atime-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and its performance is compared across different copula specifications.

Archimedean copulae for risk measurement

DE LUCA, GIOVANNI;RIVIECCIO, GIORGIA
2009

Abstract

In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family is due to their ability to capture the tail dependence, which is an association measurewecan detect in many bivariate financial time-series.Atime-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and its performance is compared across different copula specifications.
File in questo prodotto:
File Dimensione Formato  
JAS2009DeLucaRivieccio.pdf

non disponibili

Tipologia: Altro materiale allegato
Licenza: DRM non definito
Dimensione 584.73 kB
Formato Adobe PDF
584.73 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/760
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 7
  • ???jsp.display-item.citation.isi??? 7
social impact