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
2009-01-01
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:
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