Extreme Risk Value and Dependence Structure of the China Securities Index 300

Terence Tai Leung Chong, Yue Ding () and Tianxiao Pang ()
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Yue Ding: The Chinese University of Hong Kong
Tianxiao Pang: School of Mathematical Sciences, Zhejiang University

Economics Bulletin, 2017, vol. 37, issue 1, 520-529

Abstract: A time-varying copulas–conditional value at risk (CVaR) model is estimated to analyze the extreme risk value and dependence structure of the China Securities Index 300 (CSI 300) and index futures portfolios. The goodness-of-fit test as well as the in-sample and out-of-sample tests show that time-varying copulas outperform constant copulas. Specifically, the Student's t, normal, Plackett, and the rotated Gumbel copulas outperform the rotated Clayton copulas.

Keywords: CVaR model; Time-varying copulas (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2017-03-20
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Extreme Risk Value and Dependence Structure of the China Securities Index 300 (2017)
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