IDEAS home Printed from https://ideas.repec.org/a/icf/icfjfe/v05y2007i3p28-41.html
   My bibliography  Save this article

Estimating Portfolio Risk with Conditional Joe-Clayton Copula: An Empirical Analysis with Asian Equity Markets

Author

Listed:
  • Alper Ozun
  • Atilla Cifter

Abstract

Financial modeling in developing markets requires dynamic and complex algorithms, which enable investors to estimate extremes in the returns arising from the chaotic characteristics of those markets. In this research paper, the value-at-risk (VaR) of a portfolio consists of Bombay Stock Exchange Index and Hang Seng Stock Exchange Index from January 02, 2002 to April 19, 2007 estimated by conditional Joe-Clayton copula. The performance of the model is compared with those of EWMA and Delta-Normal by using three different back-testing algorithms: Kupiec test (1995), Christoffersen test (1998) and Berkowitz test (2001). The empirical results show that conditional copula captures the extremes in return distribution of the portfolio more successfully by providing flexible joint distributions and splitting the marginality from the dependencies between the assets in the portfolio.

Suggested Citation

  • Alper Ozun & Atilla Cifter, 2007. "Estimating Portfolio Risk with Conditional Joe-Clayton Copula: An Empirical Analysis with Asian Equity Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 28-41, September.
    • Handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:28-41
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:28-41. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: G R K Murty (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.