Time-varying joint distribution through copulas

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dc.contributor.authorAusin, M. Concepcion
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorAusin, M. Concepcion
dc.date.accessioned2022-10-05T23:31:23Z
dc.date.available2022-10-05T23:31:23Z
dc.date.issued2010
dc.description.otherThe analysis of temporal dependence in multivariate time series is considered. The dependence structure between the marginal series is modelled through the use of copulas which, unlike the correlation matrix, give a complete description of the joint distribution. The parameters of the copula function vary through time, following certain evolution equations depending on their previous values and the historical data. The marginal time series follow standard univariate GARCH models. Full Bayesian inference is developed where the whole set of model parameters is estimated simultaneously. This represents an essential difference from previous approaches in the literature where the marginal and the copula parameters are estimated separately in two consecutive steps. Moreover, a Bayesian procedure is proposed for the estimation of several measures of risk, such as the variance, Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) of a portfolio of assets, providing point estimates and predictive intervals. The proposed copula model enables to capture the dependence structure between the individual assets which strongly influences these risk measures. Finally, the problem of optimal portfolio selection based on the estimation of mean–variance, mean–VaR and mean–CVaR efficient frontiers is also addressed. The proposed approach is illustrated with simulated and real financial time series.pt_BR
dc.format.extentp. 2383-2399pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1016/j.csda.2009.03.008pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4144
dc.identifier.volume54pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofComputational Statistics and Data Analysispt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsNão informadopt_BR
dc.titleTime-varying joint distribution through copulaspt_BR
dc.typejournal article
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca

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