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dc.contributor.authorBastianin, Andreaen_US
dc.date.accessioned2011-12-15T11:32:07Z-
dc.date.available2011-12-15T11:32:07Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/53262-
dc.description.abstractIn 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.isoengen_US
dc.publisherFondazione Eni Enrico Mattei Milanoen_US
dc.relation.ispartofseriesNota di lavoro // Fondazione Eni Enrico Mattei: Sustainable Development 24.2009en_US
dc.subject.jelC32en_US
dc.subject.jelC52en_US
dc.subject.jelC53en_US
dc.subject.jelG17en_US
dc.subject.jelQ43en_US
dc.subject.ddc330en_US
dc.subject.keywordCopula functionsen_US
dc.subject.keywordForecastingen_US
dc.subject.keywordValue-At-Risken_US
dc.titleModelling asymmetric dependence using copula functions: An application to value-at-risk in the energy sectoren_US
dc.typeWorking Paperen_US
dc.identifier.ppn644985410en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:FEEM Working Papers, Fondazione Eni Enrico Mattei

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