Vine copulas with asymmetric tail dependence and applications to financial return data

Aristidis K. Nikoloulopoulos, Harry Joe and Haijun Li

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3659-3673

Abstract: It has been shown that vine copulas constructed from bivariate t copulas can provide good fits to multivariate financial asset return data. However, there might be stronger tail dependence of returns in the joint lower tail of assets than the upper tail. To this end, vine copula models with appropriate choices of bivariate reflection asymmetric linking copulas will be used to assess such tail asymmetries. Comparisons of various vine copulas are made in terms of likelihood fit and forecasting of extreme quantiles.

Keywords: Copula-GARCH; Inference functions for margins; Reflection asymmetry; Value-at-Risk (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (85)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3659-3673

DOI: 10.1016/j.csda.2010.07.016

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