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Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...

Persistent link: https://www.econbiz.de/10011344180

Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets

Wu, Weiou; Lau, Chi Keung; Vigne, Samuel A. - In: Research in international business and finance 42 (2017), pp. 1137-1149

Persistent link: https://www.econbiz.de/10011760780

Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile … estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals …

Persistent link: https://www.econbiz.de/10009620388

Alternative statistical distributions for estimating value-at-risk : theory and evidence

Lee, Cheng F.; Su, Jung-Bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10009673712

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

Persistent link: https://www.econbiz.de/10011866456

Frontiers in VaR forecasting and backtesting

Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501

Persistent link: https://www.econbiz.de/10011597163

Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model

Siddiqui, Saif; Roy, Preeti - In: Decision 46 (2019) 3, pp. 239-252

Persistent link: https://www.econbiz.de/10012116134

Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets : evidence from Asian Pacific, Canada, Mexico, and US countries

Mensi, Walid; El Khoury, Rim; Al Kharusi, Sami; Kang, … - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10015203036