Computing risk measures for non-normal asset returns using Copula theory

Hela Mzoughi and Faysal Mansouri ()
Additional contact information
Faysal Mansouri: University of Sousse

The Empirical Econometrics and Quantitative Economics Letters, 2013, vol. 2, issue 1, 59-70

Abstract: The article investigates the long memory effect on risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). In addition to a more realistic representation of data, our results affirm that much more reliable conclusions will certainly be drown if a more classes of Copula functions can be used.

Keywords: Value-at-Risk; Conditional Value-at-Risk; Extreme Value Theory; Long memory; Copula. (search for similar items in EconPapers)
JEL-codes: C15 C22 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.jyoungeconomist.com/images/stories/5_EE ... Mzoughi_Mansouri.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chi:journl:v:2:y:2013:i:1:p:59-70

Access Statistics for this article

The Empirical Econometrics and Quantitative Economics Letters is currently edited by Komsan Suriya

More articles in The Empirical Econometrics and Quantitative Economics Letters from Faculty of Economics, Chiang Mai University Contact information at EDIRC.
Bibliographic data for series maintained by Komsan Suriya ().