The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study

DOI10.1016/J.CSDA.2008.02.002zbMath1453.62086DBLPjournals/csda/Fantazzini09OpenAlexW2057021046WikidataQ56227796 ScholiaQ56227796MaRDI QIDQ961410

Dean Fantazzini

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.02.002

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (11)

Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks ⋮ Vine copulas with asymmetric tail dependence and applications to financial return data ⋮ An application of copulas to OPEC’s changing influence on fossil fuel prices ⋮ On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Time-varying joint distribution through copulas ⋮ Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects ⋮ Numerical solutions comparison for interval linear programming problems based on coverage and validity rates ⋮ Measurement of bivariate risks by the north-south quantile points approach ⋮ Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk

Uses Software

• FinTS
• QRM

Cites Work

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• Comparison of semiparametric and parametric methods for estimating copulas
• Copula model evaluation based on parametric bootstrap
• An introduction to copulas. Properties and applications
• Measurement of aggregate risk with copulas
• Autoregressive Conditional Density Estimation
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Handbook of econometrics. Vol. 4

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