Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39305
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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorOkhrin, Ostapen_US
dc.date.accessioned2010-08-26T11:56:58Z-
dc.date.available2010-08-26T11:56:58Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/39305-
dc.description.abstractNormal 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.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2009,031en_US
dc.subject.jelC13en_US
dc.subject.jelC14en_US
dc.subject.jelC50en_US
dc.subject.ddc330en_US
dc.subject.keywordcopulaen_US
dc.subject.keywordmultivariate distributionen_US
dc.subject.keywordvalue-at-risken_US
dc.subject.keywordmultivariate dependenceen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwValue at Risken_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwTheorieen_US
dc.titleDe copulis non est disputandum Copulae: An overviewen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn603379400en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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