A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach

DOI10.1111/jtsa.12206zbMath1360.62464OpenAlexW2516447157MaRDI QIDQ2968467

Tak Kuen Siu, Howell Tong, Shiu Fung Wong, Zu-di Lu

Publication date: 16 March 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/78515/

zbMATH Keywords

copulasthreshold principlequantitative risk measuresmultivariate nonlinear time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One ⋮ Backtesting portfolio value‐at‐risk with estimated portfolio weights ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models

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• A multiple-threshold AR(1) model
• Problems in the Analysis of Survey Data, and a Proposal

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