Forecasting VaR and ES of stock index portfolio: a vine copula method

DOI10.1016/J.PHYSA.2014.08.043zbMath1402.91930OpenAlexW1995844635MaRDI QIDQ1783220

Zhenfeng Peng, Yu Wei, Jiang Yu, Bangzheng Zhang, Xiaodong Lai

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.08.043

zbMATH Keywords

DCCAMonte CarloVaRESvine copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ A generalized error distribution copula-based method for portfolios risk assessment

Uses Software

• CAViaR

Cites Work

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• A new algorithm based on copulas for VaR valuation with empirical calculations
• Tail dependence functions and vine copulas
• Vine-copula GARCH model with dynamic conditional dependence
• Vines -- a new graphical model for dependent random variables.
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Coherent Measures of Risk
• Cross-correlations between volume change and price change
• Truncated regular vines in high dimensions with application to financial data
• Autoregressive Conditional Density Estimation

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