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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

IN - Informatika

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

419-424

Název nakladatele

Západočeská univerzita

Místo vydání

Plzeň

Místo konání akce

Cheb

Datum konání akce

9. 9. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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