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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorOkhrin, Ostapen
dc.date.accessioned2010-08-26T11:56:58Z-
dc.date.available2010-08-26T11:56:58Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,031en
dc.subject.jelC13en
dc.subject.jelC14en
dc.subject.jelC50en
dc.subject.ddc330en
dc.subject.keywordcopulaen
dc.subject.keywordmultivariate distributionen
dc.subject.keywordvalue-at-risken
dc.subject.keywordmultivariate dependenceen
dc.subject.stwKopula (Mathematik)en
dc.subject.stwMultivariate Analyseen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwValue at Risken
dc.subject.stwPortfolio-Managementen
dc.subject.stwTheorieen
dc.titleDe copulis non est disputandum Copulae: An overview-
dc.type|aWorking Paperen
dc.identifier.ppn603379400en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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