VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING
(2022)
Book Chapter
Iqbal, R., Sorwar, G., & Choudhry, T. (2022). VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING. In Advances in Financial Planning and Forecasting (163 - 196). Airiti. https://doi.org/10.6292/AFPF.202212_%2810%29.0007
In this paper, we construct vine copula models for multivariate stock portfolio returns to estimate one-day-ahead and multi-day ahead Value-at-Risk (VaR) and Expected Shortfall (ES) using Monte Carlo simulation. This is then compared with the VaR an... Read More about VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING.