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Forecasting VaR and ES of Stock Index Portfolio: A Vine Copula Method
Company: Physica A: Statistical Mechanics and its Applications
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: August
Resource Link: Click here to open
Download Count: 0
View Count: 1396
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-25-2014
Publisher: Administrator
Summary
This paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Value-at-Risk (VaR) and Expected Shortfall (ES) of the international stock markets portfolio are forecasted using Monte Carlo method based on the estimated dependence of different Vine copulas. Finally, the accuracy of VaR and ES measurements obtained from different statistical models are evaluated by UC, IND, CC and Posterior analysis. Traditional methods, such as historical simulation, mean–variance and DCC-GARCH models, fail to pass the CC backtesting. The Vine copula methods can accurately forecast the ES of the portfolio on the base of VaR measurement, and D-Vine copula model is superior to other Vine copulas.
Author(s)
Wei, Yu Sign in to follow this author
Zhang, Bangzheng Sign in to follow this author
Yu, Jiang Sign in to follow this author
Lai, Xiaodong Sign in to follow this author
Peng, Zhengeng Sign in to follow this author
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