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Document type:
Zeitschriftenaufsatz 
Author(s):
Hofmann, M. and Czado, C. 
Title:
Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models 
Abstract:
We perform Bayesian joint estimation of a multivariate GARCH model where the dependence structure of the innovations across the univariate time series is given by a D-vine copula. Vine copulas are a flexible concept to extend bivariate copulas to the multivariate case. It is based on the idea that a multivariate copula can be constructed from (conditional) bivariate copulas. In particular it is possible to allow for symmetric dependence between some pairs of margins by using e.g. bivariate S...    »
 
Keywords:
Multivariate GARCH model, D-vine copula, Bayesian inference, joint estimation, two step estimation, Value at Risk. 
Journal title:
Preprint 
Year:
2010 
Reviewed:
nein 
Language:
en 
Status:
submitted 
Semester:
SS 10 
Format:
Text