Advanced Search
MyIDEAS: Login

Modeling Stock Market Indexes With Copula Functions

Contents:

Author Info

  • Jacek Leskow

    (Wyzsza Szkola Biznesu National-Louis University in Nowy Sacz)

  • Justyna Mokrzycka

    (Wyzsza Szkola Biznesu National-Louis University in Nowy Sacz)

  • Krzysztof Krawiec

    (Wyzsza Szkola Biznesu National-Louis University in Nowy Sacz)

Registered author(s):

    Abstract

    Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models for non-normal multivariate distributions provide new tools to solve the problem because the obtained results are immediately applicable in portfolio management, option pricing and measuring risk without assuming normality. Therefore, both a theoretician and a practitioner are interested in multivariate models for returns and copula functions. The copula function models provide an effective and interesting technique of constructing multivariate distribution starting from marginal ones. Due to Sklar's result established in 1959, we can present any multivariate distribution with a help of corresponding marginal distributions and a selected copula function. In this work we present an application of copula function to construct multivariate conditional distributions of times series. In the last part of this paper dynamic models such as DCC-MVGARCH and conditional copula are analyzed. Moreover, we also present an application of bootstrap in the context of copula function. This work is appended by examples showing practical application of our work.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.e-finanse.com/artykuly_eng/180.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by University of Information Technology and Management, Institute of Financial Research and Analysis in its journal e-Finanse.

    Volume (Year): 7 (2011)
    Issue (Month): 2 (August)
    Pages: 1-16

    as in new window
    Handle: RePEc:rze:efinan:v:7:y:2011:i:2:p:1-16

    Contact details of provider:
    Web page: http://www.ibaf.edu.pl/
    More information through EDIRC

    Related research

    Keywords: copula function; GARCH model; conditional copula; DCC-MVGARCH; dynamic conditional copula; bootstrap;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    2. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
    5. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    6. John Davis, 2005. "Introduction," Journal of Economic Methodology, Taylor & Francis Journals, vol. 12(3), pages 361-361.
    7. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:rze:efinan:v:7:y:2011:i:2:p:1-16. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Pawel Bochenek) The email address of this maintainer does not seem to be valid anymore. Please ask Pawel Bochenek to update the entry or send us the correct address.

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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