International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
Download full text from publisher
References listed on IDEAS
- Katja Ignatieva & Eckhard Platen, 2010.
"Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, pages 261-302.
- Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2011.
"Evaluating Value-at-Risk Models with Desk-Level Data,"
INFORMS, pages 2213-2227.
- Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006.
- Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen, 2004.
"Backtesting Value-at-Risk: A Duration-Based Approach,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 2(1), pages 84-108.
- Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
- Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
- Huang, Jen-Jsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu, 2009. "Estimating value at risk of portfolio by conditional copula-GARCH method," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 315-324, December.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Monika Brzezińska & Katarzyna Guhn, 2013. "Planning of sales on the example of companies in the paper industry and wholesale of chemical products," Working Papers hal-00812840, HAL.
- Katarzyna Guhn, 2013. "Krotkoterminowe planowanie finansowe na przykladzie przedsiebiorstwa z branzy sprzedaz hurtowa wyrobow chemicznych," Working Papers hal-00816775, HAL.
More about this item
Keywordsmarket risk; backtesting; subordinated Lévy model; VaR;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
StatisticsAccess and download statistics
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:fau:fauart:v:62:y:2012:i:2:p:141-161. 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: (Lenka Herrmannova). General contact details of provider: http://edirc.repec.org/data/icunicz.html .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.