Vine copulas with asymmetric tail dependence and applications to financial return data

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Vine copulas with asymmetric tail dependence and applications to financial return data

TitleVine copulas with asymmetric tail dependence and applications to financial return data
Publication TypeJournal Article
Year of Publication2012
AuthorsNikoloulopoulos, AK, Joe, H, Li, H
JournalComputational Statistics & Data Analysis
Volume56
Pagination3659-3673
Date PublishedNOV
Type of ArticleArticle
ISSN0167-9473
KeywordsCopula-GARCH, Inference functions for margins, Reflection asymmetry, Value-at-Risk
AbstractIt 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.
DOI10.1016/j.csda.2010.07.016