| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector | |
| Andrea Bastianin | |
| 发表日期 | 2009 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting exercise has shown that models based on Normal marginals and/or with symmetric dependence structure fail to deliver accurate VaR forecasts. These findings confirm the importance of nonnormalities and asymmetries both in-sample and out-of-sample. |
| 特色分类 | C32,C52,C53,G17,Q43 |
| 关键词 | Copula functions,Forecasting,Value-At-Risk |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/modelling-asymmetric-dependence-using-copula-functions-an-application-to-value-at-risk-in-the-energy-sector/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117702 |
| 推荐引用方式 GB/T 7714 | Andrea Bastianin. Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2009-024.pdf（432KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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