Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Journal Title: Dynamic Econometric Models - Year 2010, Vol 10, Issue 1
Abstract
Elliptical distributions commonly applied to modeling the returns of stocks in high-dimensional 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.
Authors and Affiliations
Ryszard Doman
Keywords
Related Articles
- EP ID EP150535
- DOI -
- Views 88
- Downloads 0
Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
The aim of this paper is to investigate the predictive properties of the MSF-Scalar BEKK(1,1) model in context of portfolio optimization. The MSF-SBEKK model has been proposed as a feasible tool for analyzing multidimens...
The Haar Wavelet Transfer Function Model and Its Applications
In the paper the Haar wavelet transfer function models are suggested as a way to parsimoniously parametrise the impulse responses and construct models with parameters providing an insight into the frequency content of th...
Forecasting Financial Processes by Using Diffusion Models
Time series forecasting is one of the most important issues in the financial econometrics. In the face of growing interest in models with continuous time, as well as rapid development of methods of their estimation, we t...
The Model of French Development Assistance – Who Gets the Help?
Development cooperation is an important element of international relations because it influences the power balance between major players on the world markets and in the political debate. The aim of the article was to ana...
The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean
The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothes...