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De copulis non est disputandum - Copulae: An Overview

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Author Info

  • Wolfgang Härdle
  • Ostap Okhrin

Abstract

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate model provide better results than those based on the normal distribution.

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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2009-031.

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Length: 30 pages
Date of creation: May 2009
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2009-031

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Related research

Keywords: copula; multivariate distribution; value-at-risk; multivariate dependence;

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Cited by:
  1. Michal Grajek & Lars-Hendrik Röller, 2009. "Regulation and investment in network industries: Evidence from European telecoms," ESMT Research Working Papers ESMT-09-004, ESMT European School of Management and Technology.
  2. Roland Strausz, 2010. "The Political Economy of Regulatory Risk," CESifo Working Paper Series 2953, CESifo Group Munich.
  3. Thorsten Dickhaus & Jakob Gierl, 2012. "Simultaneous test procedures in terms of p-value copulae," SFB 649 Discussion Papers SFB649DP2012-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Fabrizio Durante & Roberto Ghiselli-Ricci, 2012. "Supermigrative copulas and positive dependence," AStA Advances in Statistical Analysis, Springer, vol. 96(3), pages 327-342, July.

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