English, Article edition: Archimedean copulae for risk measurement Giovanni De Luca; Giorgia Rivieccio

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Archimedean copulae for risk measurement
Author
  • Giovanni De Luca
  • Giorgia Rivieccio
Physical Description
  • article
Notes
  • In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family is due to their ability to capture the tail dependence, which is an association measure we can detect in many bivariate financial time-series. A time-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and its performance is compared across different copula specifications.
  • copula, time-varying parameters, daily equity returns, risk management, value-at-risk,
  • RePEc:taf:japsta:v:36:y:2009:i:8:p:907-924
Language
  • English
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