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

Terence Tai Leung Chong, Yue Ding and Tianxiao Pang

MPRA Paper from University Library of Munich, Germany

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 C22 G1 (search for similar items in EconPapers)
Date: 2017-03-06
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

Published in Economics Bulletin 37.1(2017): pp. 520-529

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Journal Article: Extreme Risk Value and Dependence Structure of the China Securities Index 300 (2017)
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