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Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
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| Creator |
Doman, Ryszard; Adam Mickiewicz University in Poznań
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| Subject |
dependence, portfolio, copula, pair-copula construction
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| Description |
Elliptical distributions commonly applied to modeling the returns of stocks in highdimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are very diverse. The MGARCH and standard dynamic copula models are often of little usefulness in such cases. In this paper, we apply a methodology called the pair-copula decomposition to model the joint conditional distribution of the returns on stocks constituting the WIG20 index, and show some advantage of this construction over the approach using the t Student DCC model.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2010-07-16
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.003
10.12775/DEM.2010.003 |
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| Source |
Dynamic Econometric Models; Vol 10 (2010); 31-42
Dynamic Econometric Models; Vol 10 (2010); 31-42 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.003/4025
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