Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/48666 
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dc.contributor.authorTinkl, Fabianen
dc.contributor.authorReichert, Katjaen
dc.date.accessioned2011-07-28-
dc.date.accessioned2011-07-29T15:34:51Z-
dc.date.available2011-07-29T15:34:51Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnbergen
dc.relation.ispartofseries|aIWQW Discussion Papers |x09/2011en
dc.subject.ddc330en
dc.subject.keywordDynamic copula modelsen
dc.subject.keywordMarkov chainsen
dc.subject.keywordscore testen
dc.subject.keywordGARCH modelsen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwKopulaen
dc.subject.stwMarkovscher Prozessen
dc.subject.stwARCH-Modellen
dc.subject.stwSchätzungen
dc.subject.stwBanken
dc.subject.stwDeutschlanden
dc.titleDynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns-
dc.typeWorking Paperen
dc.identifier.ppn664986498en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:iwqwdp:092011en

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