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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Bastianin, Andrea | en |
dc.date.accessioned | 2011-12-15T11:32:07Z | - |
dc.date.available | 2011-12-15T11:32:07Z | - |
dc.date.issued | 2009 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFondazione Eni Enrico Mattei (FEEM) |cMilano | en |
dc.relation.ispartofseries | |aNota di Lavoro |x24.2009 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | C52 | en |
dc.subject.jel | C53 | en |
dc.subject.jel | G17 | en |
dc.subject.jel | Q43 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Copula functions | en |
dc.subject.keyword | Forecasting | en |
dc.subject.keyword | Value-At-Risk | en |
dc.title | Modelling asymmetric dependence using copula functions: An application to value-at-risk in the energy sector | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 644985410 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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