Archimedean copulae for risk measurement

In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family is due to their ability to capture the tail dependence, which is an association measure we can detect in many bivariate financial time-series. A time-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and its performance is compared across different copula specifications.

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Year of publication:	2009
Authors:	Luca, Giovanni De ; Rivieccio, Giorgia
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 36.2009, 8, p. 907-924
Publisher:	Taylor & Francis Journals
Subject:	copula \| time-varying parameters \| daily equity returns \| risk management \| value-at-risk

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966812