Computing risk measures for non-normal asset returns using Copula theory

The article investigates the long memory effect on risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). In addition to a more realistic representation of data, our results affirm that much more reliable conclusions will certainly be drown if a more classes of Copula functions can be used.

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Year of publication:	2013
Authors:	Mzoughi, Hela ; Mansouri, Faysal
Published in:	The Empirical Econometrics and Quantitative Economics Letters. - Faculty of Economics. - Vol. 2.2013, 1, p. 59-70
Publisher:	Faculty of Economics
Subject:	Value-at-Risk \| Conditional Value-at-Risk \| Extreme Value Theory \| Long memory \| Copula

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Extent:	application/pdf
Type of publication:	Article
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010765519