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首页> 外文期刊>Statistica neerlandica >Financial dependence analysis: applications of vine copulas
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Financial dependence analysis: applications of vine copulas

机译：财务依赖性分析：藤蔓copulas的应用

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摘要

This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk, namely regular vine copulas. Dependence modelling using copulas is a popular tool in financial applications but is usually applied to pairs of securities. Vine copulas offer greater flexibility and permit the modelling of complex dependence patterns using the rich variety of bivariate copulas that can be arranged and analysed in a tree structure to facilitate the analysis of multiple dependencies. We apply regular vine copula analysis to a sample of stocks comprising the Dow Jones index to assess their interdependences and to assess how their correlations change in different economic circumstances using three different sample periods around Global Financial Crisis (GFC).: pre-GFC (January 2005 to July 2007), GFC (July 2007 to September 2009) and post-GFC periods (September 2009 to December 2011). The empirical results suggest that the dependencies change in a complex manner, and there is evidence of greater reliance on the Student-t copula in the copula choice within the tree structures for the GFC period, which is consistent with the existence of larger tails in the distributions of returns for this period. One of the attractions of this approach to risk modelling is the flexibility in the choice of distributions used to model co-dependencies. The practical application of regular vine metrics is demonstrated via an example of the calculation of the Value at Risk of a portfolio of stocks.
机译：本文介绍了一种新近开发的统计和数学分析方法在评估金融风险中的应用，即常规的葡萄蔓copulas。使用copulas的依赖模型在金融应用中是一种流行的工具，但通常应用于证券对。葡萄系动词提供了更大的灵活性，并允许使用可以在树状结构中排列和分析的多种双变量系动词对复杂的依赖性模式进行建模，以利于分析多个依赖性。我们对包括道琼斯指数在内的股票样本进行常规的藤蔓copula分析，以评估它们之间的相互依赖性，并使用围绕全球金融危机（GFC）的三个不同样本时期来评估它们的相关性在不同的经济环境中的变化。 2005年至2007年7月），全球金融危机（2007年7月至2009年9月）和全球金融危机后时期（2009年9月至2011年12月）。实证结果表明，依赖关系以复杂的方式变化，并且有证据表明，GFC时期树结构中的copula选择中更多地依赖Student-t copula，这与存在较大尾巴的现象相一致。此期间的收益分配。这种方法对风险建模的吸引力之一是可以灵活选择用于对相互依赖关系进行建模的分布。通过计算股票投资组合的风险价值示例，演示了常规葡萄树度量标准的实际应用。

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  • 来源
    《Statistica neerlandica》 |2013年第4期|403-435|共33页
  • 作者

    David E. Allen; Mohammad A. Ashraf; Michael McAleer; Robert J. Powell; Abhay K. Singh;

  • 作者单位

    School of Accounting, Finance and Economics, Edith Cowan University,Australia;

    Indian Institute of Technology, Kharagpur, India;

    Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Tinbergen Institute, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Economic Research, Kyoto University, Japan;

    School of Accounting, Finance and Economics, Edith Cowan University,Australia;

    School of Accounting, Finance and Economics, Edith Cowan University,Australia;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    regular vine copulas; tree structures; co-dependence modelling;

    机译：普通藤蔓copulas;树木结构;相互依赖建模;

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