Archimedean copulae for risk measurement

Giovanni De Luca () and Giorgia Rivieccio

Journal of Applied Statistics, 2009, vol. 36, issue 8, 907-924

Abstract: 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.

Keywords: copula; time-varying parameters; daily equity returns; risk management; value-at-risk (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/02664760802520785

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