An experimental comparison of Value at Risk estimates based on elliptical and hierarchical Archimedean copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F15%3A%230003572" target="_blank" >RIV/47813059:19520/15:#0003572 - isvavai.cz</a>
Result on the web
<a href="http://mme2015.zcu.cz/conference-proceedings/" target="_blank" >http://mme2015.zcu.cz/conference-proceedings/</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
An experimental comparison of Value at Risk estimates based on elliptical and hierarchical Archimedean copulas
Original language description
In this paper, we estimate Value at Risk for a selected portfolio using elliptical and hierarchical Archimedean copulas, where the latter is based on a recent approach to estimation of hierarchical Archimedean copulas based on the Kendall correlation matrix. The estimates are compared using the Kupiec's test for three periods of time: a period of significant movements of index prices, a period of relative calm in the stock market and a long term period which includes the both situation in the stock market. Our experimental results show that the estimates based on elliptical copulas are more accurate in the periods of relative calm in the stock market, whereas the estimates based on hierarchical Archimedean copulas are more accurate in the period of significant movements in the stock market.
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
33rd International Conference on Mathematical Methods in Economics
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
419-424
Publisher name
Západočeská univerzita
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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