Photo by sharonmccutcheon from unsplash
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the… Click to show full abstract
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model’s parameters and in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the accuracy of the forecasted VaR, in particular, if they are compared with the results obtained from Dynamic Conditional Correlation (DCC) model.
Keywords:
copula approach;
dependence financial;
markets dynamic;
financial markets;
dynamic copula;
tail dependence
Journal Title: Risks
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Risks
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!