Marginal or copula: which one is critical?

Pilsun Choi and Insik Min

Applied Economics Letters, 2013, vol. 20, issue 16, 1462-1465

Abstract: We construct twelve marginal--copula combinations using three marginal distributions (normal, t and S U -normal) and four types of copulas (normal, skewed normal, t and skewed t ). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value at Risk (VaR) estimation than the selection of copula specification.

Date: 2013
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DOI: 10.1080/13504851.2013.826870

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