| Item Type |
Monograph
(Working Paper)
|
| Abstract |
This paper introduces multivariate dynamic copula models to account for the time-varying dependence structure in asset portfolios. We firstly enhance the fexibility of this structure by modeling regimes with multivariate mixture copulas. In our second approach, we derive dynamic elliptical copulas by applying the dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The best-ranked copulas according to both in-sample fit and out-of-sample forecast performance indicate the importance of accounting for time-variation. The superiority of multivariate dynamic Clayton and Student-t models further highlight that positive tail dependence as well as the capability of capturing asymmetries in the dependence structure are crucial features of a well-fitting model for an equity portfolio. |
| Authors |
Frauendorfer, Karl; Paraschiv, Florentina; Aepli, Matthias D. & Füss, Roland |
| Language |
English |
| Keywords |
Multivariate dynamic copulas; regime-switching copulas; dynamic conditional correlation (DCC) model; forecast performance; tail dependence. |
| Subjects |
business studies |
| HSG Classification |
contribution to scientific community |
| Refereed |
No |
| Date |
2015 |
| Series Name |
School of Finance Working Paper Series |
| Number |
2015-13 |
| Depositing User |
Prof. Dr. Roland Füss
|
| Date Deposited |
16 Jul 2015 10:25 |
| Last Modified |
20 Jul 2022 17:25 |
| URI: |
https://www.alexandria.unisg.ch/publications/242511 |
Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation
![[img]](http://www.alexandria.unisg.ch/style/images/fileicons/oa_orange.png)
