Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

copula sign in to follow this
goodness-of-fit test sign in to follow this
dependence sign in to follow this
marginal distribution sign in to follow this
GARCH sign in to follow this
Expected shortfall sign in to follow this

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Are Copula-GoF-Tests of Any Practical Use? Results from a Simulation Study
Company: University of Bochum
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: November
Pages: 40
Download Count: 8
View Count: 1736
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-17-2010
Publisher: Administrator
In this paper, the optimality of bivariate copula-VaR models and the usefulness of several goodness-of-fit tests for copulas are analysed by the use of a comprehensive simulation study. In particular, I try to answer two questions: (1) Which parametric copula is optimal for estimating the VaR and Expected Shortfall (ES) of a given portfolio consisting of linear assets? (2) How can the in terms of accurate VaR- or ES-estimates optimal parametric copula be identified beforehand? To answer these questions, the VaR and ES for a total of 12,000 bivariate portfolios are estimated from 435 linear assets over eight different time windows. The results show that although copula-models with GARCH-margins yield considerably better VaR-estimates than correlation-based models, the identification of the optimal parametric copula form is a serious unsolved problem. The analysis of three state-of-the-art approaches for testing a copula-model's goodness-of-fit showed that none of the tests is able to id
Weiss, Gregor N. Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile