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題名 Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests
作者 陳建成
Zhu, Wenjun
Wang, Chou Wen
Tan, Ken Seng
貢獻者 風險與保險研究中心
關鍵詞 High dimensional modeling; Hierarchical Archimedean copulas; Lévy subordinators; Downside risk
日期 2016-08
上傳時間 23-Aug-2017 11:21:58 (UTC+8)
摘要 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.
關聯 Journal of Banking and Finance, 69, 20-36
資料類型 article
DOI http://dx.doi.org/10.1016/j.jbankfin.2016.01.011
dc.contributor 風險與保險研究中心
dc.creator (作者) 陳建成zh_tw
dc.creator (作者) Zhu, Wenjunen_US
dc.creator (作者) Wang, Chou Wenen_US
dc.creator (作者) Tan, Ken Sengen_US
dc.date (日期) 2016-08
dc.date.accessioned 23-Aug-2017 11:21:58 (UTC+8)-
dc.date.available 23-Aug-2017 11:21:58 (UTC+8)-
dc.date.issued (上傳時間) 23-Aug-2017 11:21:58 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112117-
dc.description.abstract (摘要) 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.
dc.format.extent 1503216 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Banking and Finance, 69, 20-36
dc.subject (關鍵詞) High dimensional modeling; Hierarchical Archimedean copulas; Lévy subordinators; Downside risk
dc.title (題名) Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical testsen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.jbankfin.2016.01.011
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jbankfin.2016.01.011