Weiß, Gregor - In: Review of Quantitative Finance and Accounting 41 (2013) 2, pp. 179-202
In this paper, we analyze the accuracy of the copula-GARCH and Dynamic Conditional Correlation (DCC) models for forecasting the value-at-risk (VaR) and expected shortfall (ES) of bivariate portfolios. We then try to answer two questions: First, does the correlation-based DCC model outperform the...
