Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39305
Authors: 
Härdle, Wolfgang Karl
Okhrin, Ostap
Year of Publication: 
2009
Series/Report no.: 
SFB 649 discussion paper 2009,031
Abstract: 
Normal 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.
Subjects: 
copula
multivariate distribution
value-at-risk
multivariate dependence
JEL: 
C13
C14
C50
Document Type: 
Working Paper

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