A Unified Copula Framework for VaR forecasting
AbstractThis paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the models according to the choice of the marginals distribution, the specification of the conditional moments of the marginals, the choice of the type of copula, the specification of the conditional copula parameters. Besides, we consider also the effects of the degree of assetsâ€™ riskiness, the portfolio dimensionality and the time sample used for VaR backtesting. The calculated VaR values are then compared using three different testing procedures, including Kupiecâ€™s unconditional coverage test, Christoffersenâ€™s conditional coverage test and a recent bootstrap test of Superior Predicting Ability proposed by Hansen (2005) and Hansen and Lunde (2005)
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" 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.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 57.
Date of creation: 04 Jul 2006
Date of revision:
Multivariate modelling; Copulas; VaR; Forecasting;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.