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Adaptive Copula Estimation: Sensitivity Analysis and Applications
Company: Humboldt University of Berlin
Year Of Publication: 2007
Month Of Publication: February
Pages: 81
Download Count: 283
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-22-2007
Publisher: Administrator
Summary
This work contains the following parts. Firstly, basic definitions and theoremson copulae are introduced. Secondly, we discuss methods to estimateValue-at-Risk. One method is the RiskMetrics approach developed byMordnan/Rueters (1996). The other method is based on the assumptionof copula-distributed innovations. Thirdly, we use the adaptive copulaestimation procedure and test this procedure assuming that the copula parameterchanges over time gradually. Finally, we apply RiskMetrics approachand copula-based approach to real data and compare the results.
Author(s)
Reznikova, Olga Sign in to follow this author
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