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A Copula-GARCH Model of Conditional Dependencies: Estimating Tehran Market Stock Exchange Value-at-Risk
Company: Journal of Statistical and Econometric Methods
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: June
Resource Link: Click here to open
Pages: 39-50
Download Count: 0
View Count: 1023
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-13-2013
Publisher: Administrator
Summary
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on ?tting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered conditional and time varying. This method is used to the daily returns of ?ve major stock markets (Telecom (TE), Sina darou (SI), Motojen (MO), Mellat bank (ME), and Esfahan oil re?nery (ES)). Then Valueat-Risk of Tehran Stock Exchange portfolio including mentioned assets, is estimated.
(volume 2, number 2)
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Author(s)
Haghighi, Fatemeh Sign in to follow this author
Shams, Sedigheh Sign in to follow this author
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