About: Currency Risk Modelling by GARCH-Copula Model

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Currency Risk Modelling by GARCH-Copula Model Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Time series modelling and subsequent risk estimation is difficult and important activity of any financial institution. Financial time series are characterized by volatility clustering and heavy-tailed distribution of returns. Both these characteristics have a great influence for risk estimation. Especially when modelling more-dimensional probability distribution, shocks in terms of extreme losses (or returns) in particular risk drivers are usually more correlated than the losses (returns) closer to the mean. In this paper we focus on GARCH-copula models. The copula functions are the tool which allows us to model the dependence among individual risk drivers. On the other hand, GARCH model allows depicting the volatility clustering. Concretely, GARCH model with Student distribution of innovations and various copula functions are assumed in the paper. These joined models are backtested on chosen dataset and VaR exceedances (i.e. their quantity and distribution in time) are statistically tested by Kupiec and Christoffersen tests. Time series modelling and subsequent risk estimation is difficult and important activity of any financial institution. Financial time series are characterized by volatility clustering and heavy-tailed distribution of returns. Both these characteristics have a great influence for risk estimation. Especially when modelling more-dimensional probability distribution, shocks in terms of extreme losses (or returns) in particular risk drivers are usually more correlated than the losses (returns) closer to the mean. In this paper we focus on GARCH-copula models. The copula functions are the tool which allows us to model the dependence among individual risk drivers. On the other hand, GARCH model allows depicting the volatility clustering. Concretely, GARCH model with Student distribution of innovations and various copula functions are assumed in the paper. These joined models are backtested on chosen dataset and VaR exceedances (i.e. their quantity and distribution in time) are statistically tested by Kupiec and Christoffersen tests. (en)
Title	Currency Risk Modelling by GARCH-Copula Model Currency Risk Modelling by GARCH-Copula Model (en)
skos:prefLabel	Currency Risk Modelling by GARCH-Copula Model Currency Risk Modelling by GARCH-Copula Model (en)
skos:notation	RIV/61989100:27510/14:86091087!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(EE2.3.30.0016), P(GP13-18300P)
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Kresta, Aleš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	9410
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86091087
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	backtesting; GARCH model; copula function; currency risk (en)
http://linked.open.../riv/klicoveSlovo	backtesting currency risk copula function GARCH model
http://linked.open...ontrolniKodProRIV	[A66825ED1224]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Opportunities for young researchers Modelování finančních časových řad a odhad rizika
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Kresta, Aleš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000345575000023
http://linked.open.../riv/zahajeniAkce	2013-10-16 (xsd:date)
number of pages	11 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Silesian University, School of Business Administration
https://schema.org/isbn	978-80-7248-939-8
http://localhost/t...ganizacniJednotka	27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 58 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software