Extreme Risk Value and Dependence Structure of the China Securities Index 300

A time-varying copulas–conditional value at risk (CVaR) model is estimated to analyze the extreme risk value and dependence structure of the China Securities Index 300 (CSI 300) and index futures portfolios. The goodness-of-fit test as well as the in-sample and out-of-sample tests show that time-varying copulas outperform constant copulas. Specifically, the Student’s t, normal, Plackett, and the rotated Gumbel copulas outperform the rotated Clayton copulas.

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Year of publication:	2017-03-06
Authors:	Chong, Terence Tai Leung ; Ding, Yue ; Pang, Tianxiao

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Chong, Terence Tai Leung and Ding, Yue and Pang, Tianxiao (2017): Extreme Risk Value and Dependence Structure of the China Securities Index 300. Published in: Economics Bulletin , Vol. 1, No. 37 (20 March 2017): pp. 520-529.
Classification:	C2 - Econometric Methods: Single Equation Models ; C22 - Time-Series Models ; G1 - General Financial Markets
Source:	BASE

Persistent link: https://www.econbiz.de/10015257018