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Currency risk modelling by GARCH-copula model

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087390" target="_blank" >RIV/61989100:27510/13:86087390 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Currency risk modelling by GARCH-copula model

  • Original language description

    Time series modelling and subsequent risk estimation is difficult and important activity of any financial institution. Financial time series are characterized by volatility clustering and heavy-tailed distribution of returns. Both these characteristics have a great influence for risk estimation. Especially when modelling more-dimensional probability distribution, shocks in terms of extreme losses (or returns) in particular risk drivers are usually more correlated than the losses (returns) closer to themean. In this paper we focus on GARCH-copula models. The copula functions are the tool which allows us to model the dependence among individual risk drivers. On the other hand, GARCH model allows depicting the volatility clustering. Concretely, GARCH model with Student distribution of innovations and various copula functions are assumed in the paper. These joined models are backtested on chosen dataset and VaR exceedances (i.e. their quantity and distribution in time) are statistically t

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Financial Regulation and Supervision in the After-Crisis Period : proceedings of 14th International Conference on Finance and Banking : Ostrava, Czech Republic, 16 - 17 October 2013

  • ISBN

    978-80-7248-892-6

  • ISSN

  • e-ISSN

  • Number of pages

    12

  • Pages from-to

    210-221

  • Publisher name

    Silesian University, School of Business Administration

  • Place of publication

    Karviná

  • Event location

    Ostrava

  • Event date

    Oct 16, 2013

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article