Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 56, Issue 11, Pages 3659-3673Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.csda.2010.07.016
Keywords
Copula-GARCH; Inference functions for margins; Reflection asymmetry; Value-at-Risk
Funding
- NSERC Discovery Grant
- NSF grant
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [1007556] Funding Source: National Science Foundation
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It has been shown that vine copulas constructed from bivariate t copulas can provide good fits to multivariate financial asset return data. However, there might be stronger tail dependence of returns in the joint lower tail of assets than the upper tail. To this end, vine copula models with appropriate choices of bivariate reflection asymmetric linking copulas will be used to assess such tail asymmetries. Comparisons of various vine copulas are made in terms of likelihood fit and forecasting of extreme quantiles. (C) 2010 Elsevier B.V. All rights reserved.
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