|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39305
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Härdle, Wolfgang Karl | | en_US |
| dc.contributor.author | | Okhrin, Ostap | | en_US |
| dc.date.accessioned | | 2010-08-26T11:56:58Z | | - |
| dc.date.available | | 2010-08-26T11:56:58Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/39305 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2009,031 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C50 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | copula | | en_US |
| dc.subject.keyword | | multivariate distribution | | en_US |
| dc.subject.keyword | | value-at-risk | | en_US |
| dc.subject.keyword | | multivariate dependence | | en_US |
| dc.subject.stw | | Kopula (Mathematik) | | en_US |
| dc.subject.stw | | Multivariate Analyse | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Value at Risk | | en_US |
| dc.subject.stw | | Portfolio-Management | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | De copulis non est disputandum Copulae: An overview | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 603379400 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|