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Assessing Dependence between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk (VaR)
Company: Quantitative Finance
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: February
Resource Link: Click here to open
Download Count: 0
View Count: 1200
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-20-2013
Publisher: Administrator
Summary
We analyse the dynamic dependence structure between broad stock market indexes from the United States (S&P500), Britain (FTSE100), Brazil (BOVESPA) and Mexico (PCMX). We employ Patton’s [Int. Econ. Rev., 2006, 2, 527–556] conditional copula setting and additionally observe the impact of different copula functions on Value at Risk (VaR) estimation. We conclude that the dependence between BOVESPA and the other indexes has intensified since the beginning of 2007. In our case the particular copula form is not crucial for VaR estimation. A goodness-of-fit test based on the parametric bootstrap is also applied. The best fits are obtained via time constant Student-t and time-varying Normal copulas.
A previous version may be downloaded without charge here:
http://www3.bcu.gub.uy/autoriza/peiees/jor/2009/iees03j3331009.pdf (checked 4/20/2013)
Author(s)
Dueker, Michael J. Sign in to follow this author
Silva Filho, Osvaldo C. Sign in to follow this author
Ziegelmann, Flavio A. Sign in to follow this author
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