IDEAS home Printed from https://ideas.repec.org/p/cab/wpaefr/44.html
   My bibliography  Save this paper

Analyzing Asymetric Dependence in Exchange Rates using Copula

Author

Listed:
  • Alexie Alupoaiei

Abstract

In this paper I aimed to analyze the use of copulas in financial application, namely to investigate the assumption of asymmetric dependence and to compute some measures of risk. For this purpose I used a portfolio consisting in four currencies from Central and Eastern Europe. Due to some stylized facts observed in exchange rate series I filter the data with an ARMA GJR model. The marginal distributions of filtered residuals are fitted with a semi-parametric CDF, using a Gaussian kernel for the interior of distribution and Generalized Pareto Distribution for tails. To obtain a better view of the dependence among the four currencies I proposed a decomposition of large portfolio in other three bivariate sub-portfolios. For each of them I compute Value-at-Risk and Conditional Value-at-Risk and then backtest the results.

Suggested Citation

  • Alexie Alupoaiei, 2010. "Analyzing Asymetric Dependence in Exchange Rates using Copula," Advances in Economic and Financial Research - DOFIN Working Paper Series 44, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    • Handle: RePEc:cab:wpaefr:44
    as

    Download full text from publisher

    File URL: http://www.dofin.ase.ro/Working%20papers/Alupoaiei%20Alexie/alupoaiei.alexie.dissertation.pdf
    File Function: First version, 2010
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Value-at-Risk; copula; Generalized Pareto Distribution;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:cab:wpaefr:44. 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: Ciprian Necula (email available below). General contact details of provider: https://edirc.repec.org/data/caasero.html .

    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.