IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-89824-7_56.html

A Copula-Based Quantile Model

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Giovanni De Luca

    (University of Naples Parthenope)

  • Giorgia Rivieccio

    (University of Naples Parthenope)

  • Stefania Corsaro

    (University of Naples Parthenope)

Abstract

A copula-based quantile model is built. The estimates are compared to the estimates obtained using the multivariate CAViaR model, which extends the univariate version of the model. The comparison is firstly made in terms of Kupiec and Christoffersen test. Moreover, a further comparison is made using two loss functions that evaluate the distances between the losses and the VaR measures in presence of a violation. The results show that the copula approach is highly competitive providing, in particular, estimated quantiles which generally imply a lower value for the two loss functions.

Suggested Citation

  • Giovanni De Luca & Giorgia Rivieccio & Stefania Corsaro, 2018. "A Copula-Based Quantile Model," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 311-315, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_56
    DOI: 10.1007/978-3-319-89824-7_56
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;

    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:spr:sprchp:978-3-319-89824-7_56. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.