EconPapers    
Economics at your fingertips  
 

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Osvaldo C. Silva Filho, Flavio A. Ziegelmann and Michael Dueker
Authors registered in the RePEc Author Service: Osvaldo Candido ()

Quantitative Finance, 2014, vol. 14, issue 12, 2155-2170

Abstract: We analyse the dynamic dependence structure between broad stock market indexes from the United States (S&P500), Britain (FTSE100), Brazil (BOVESPA) and Mexico (PCMX). We employ Patton's [ Int. Econ. Rev ., 2006, 2 , 527-556] conditional copula setting and additionally observe the impact of different copula functions on Value at Risk (VaR) estimation. We conclude that the dependence between BOVESPA and the other indexes has intensified since the beginning of 2007. In our case the particular copula form is not crucial for VaR estimation. A goodness-of-fit test based on the parametric bootstrap is also applied. The best fits are obtained via time constant Student- t and time-varying Normal copulas.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2012.739726 (text/html)
Access to full text is restricted to subscribers.

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:taf:quantf:v:14:y:2014:i:12:p:2155-2170

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-10-18
Handle: RePEc:taf:quantf:v:14:y:2014:i:12:p:2155-2170