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An Order of Asymmetry in Copulas, and Implications for Risk Management

Siburg, Karl - 2016

We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its...

Persistent link: https://www.econbiz.de/10012996898

Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140

Persistent link: https://www.econbiz.de/10011377805

Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy

Weiß, Gregor - In: Review of quantitative finance and accounting 41 (2013) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10009774463

Copula parameter estimation : numerical considerations and implications for risk management

Weiß, Gregor - In: Journal of risk 13 (2010/11) 1, pp. 17-53

Persistent link: https://www.econbiz.de/10008699157

Are copula-GoF-tests of any practical use? : empirical evidence for stocks, commodities and fx futures

Weiß, Gregor - In: The quarterly review of economics and finance : journal … 51 (2011) 2, pp. 173-188

Persistent link: https://www.econbiz.de/10009270151

Comparing and quantifying tail dependence

Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - In: Insurance : mathematics and economics 118 (2024), pp. 95-103

Persistent link: https://www.econbiz.de/10015067023

Identifying mixture copula components using outlier detection methods and goodness-of-fit tests

Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101

Persistent link: https://www.econbiz.de/10013262930

Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement

Weiß, Gregor - In: Kredit und Kapital 44 (2011) 4, pp. 543-577

Persistent link: https://www.econbiz.de/10009504812

Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas

Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350

Persistent link: https://www.econbiz.de/10010126429

An order of asymmetry in copulas, and implications for risk management

Siburg, Karl Friedrich; Stehling, Katharina; Stoimenov, … - In: Insurance / Mathematics & economics 68 (2016), pp. 241-247

Persistent link: https://www.econbiz.de/10011493850

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