Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/112117


Title: Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests
Authors: 陳建成
Zhu, Wenjun
Wang, Chou Wen
Tan, Ken Seng
Contributors: 風險與保險研究中心
Keywords: High dimensional modeling;Hierarchical Archimedean copulas;Lévy subordinators;Downside risk
Date: 2016-08
Issue Date: 2017-08-23 11:21:58 (UTC+8)
Abstract: Lévy subordinated hierarchical Archimedean copulas (LSHAC) are flexible models in high dimensional modeling. However, there is limited literature discussing their applications, largely due to the challenges in estimating their structures and their parameters. In this paper, we propose a three-stage estimation procedure to determine the hierarchical structure and the parameters of a LSHAC. This is the first paper to empirically examine the modeling performances of LSHAC models using exchange traded funds. Simulation study demonstrates the reliability and robustness of the proposed estimation method in determining the optimal structure. Empirical analysis further shows that, compared to elliptical copulas, LSHACs have better fitting abilities as well as more accurate out-of-sample Value-at-Risk estimates with less parameters. In addition, from a financial risk management point of view, the LSHACs have the advantage of being very flexible in modeling the asymmetric tail dependence, providing more conservative estimations of the probabilities of extreme downward co-movements in the financial market.
Relation: Journal of Banking and Finance, 69, 20-36
Data Type: article
DOI 連結: http://dx.doi.org/10.1016/j.jbankfin.2016.01.011
Appears in Collections:[風險管理與保險學系 ] 期刊論文

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