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Title:

Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models

Document type:
Zeitschriftenaufsatz
Author(s):
Hofmann, M. and Czado, C.
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 Stu...     »
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
 BibTeX