EconStor >
Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/48666
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorTinkl, Fabianen_US
dc.contributor.authorReichert, Katjaen_US
dc.date.accessioned2011-07-28en_US
dc.date.accessioned2011-07-29T15:34:51Z-
dc.date.available2011-07-29T15:34:51Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/48666-
dc.description.abstractWe generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using copula-based Markov chain models. We found evidence that compared to usual GARCH models the copula-based Markov chain models perform worse when daily stock returns are estimated. Thus we do not see any advantage of this model type when daily returns from financial data are modeled.en_US
dc.language.isoengen_US
dc.publisherUniv., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangenen_US
dc.relation.ispartofseriesIWQW discussion paper series 09/2011en_US
dc.subject.ddc330en_US
dc.subject.keywordDynamic copula modelsen_US
dc.subject.keywordMarkov chainsen_US
dc.subject.keywordscore testen_US
dc.subject.keywordGARCH modelsen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKopulaen_US
dc.subject.stwMarkovscher Prozessen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwBanken_US
dc.subject.stwDeutschlanden_US
dc.titleDynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returnsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn664986498en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:iwqwdp:092011-
Appears in Collections:IWQW Discussion Paper Series, FAU Erlangen-Nürnberg

Files in This Item:
File Description SizeFormat
664986498.pdf513.81 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.