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Fondazione Eni Enrico Mattei (FEEM), Mailand >
FEEM Working Papers, Fondazione Eni Enrico Mattei >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/53262
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Bastianin, Andrea | | en_US |
| dc.date.accessioned | | 2011-12-15T11:32:07Z | | - |
| dc.date.available | | 2011-12-15T11:32:07Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/53262 | | - |
| dc.description.abstract | | In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting exercise has shown that models based on Normal marginals and/or with symmetric dependence structure fail to deliver accurate VaR forecasts. These findings confirm the importance of nonnormalities and asymmetries both in-sample and out-of-sample. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Fondazione Eni Enrico Mattei Milano | | en_US |
| dc.relation.ispartofseries | | Nota di lavoro // Fondazione Eni Enrico Mattei: Sustainable Development 24.2009 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.jel | | G17 | | en_US |
| dc.subject.jel | | Q43 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Copula functions | | en_US |
| dc.subject.keyword | | Forecasting | | en_US |
| dc.subject.keyword | | Value-At-Risk | | en_US |
| dc.title | | Modelling asymmetric dependence using copula functions: An application to value-at-risk in the energy sector | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 644985410 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | FEEM Working Papers, Fondazione Eni Enrico Mattei
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