Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor N.F. - In: Journal of Banking & Finance 54 (2015) C, pp. 129-140
We propose to forecast the Value-at-Risk of bivariate portfolios using copulas which are calibrated on the basis of nonparametric sample estimates of the coefficient of lower tail dependence. We compare our proposed method to a conventional copula-GARCH model where the parameter of a Clayton...