Weiß, Gregor N.F. - In: The Quarterly Review of Economics and Finance 51 (2011) 2, pp. 173-188
Abstract In this paper, the optimality of bivariate copula-VaR models and the usefulness of several goodness-of-fit tests for copulas are analysed in a comprehensive empirical study using data for stocks, commodities and FX futures. In particular, I try to answer two questions: (1) which...