We take price time series of four financial traded indices: FTSE MIB, CAC All-Tradable, CDAX and IBEX35. From Eikon Reuters-Datastream. We fit these data to various copulas and estimate copula parameters by Inference for margins method. By copulas we deduce Value at Risk for an imaginary portfolio, composed of our four financial indices.
Applyng copulas in econometrics estimate of portfolio value at risk
Magliani, Eleonora
2018/2019
Abstract
We take price time series of four financial traded indices: FTSE MIB, CAC All-Tradable, CDAX and IBEX35. From Eikon Reuters-Datastream. We fit these data to various copulas and estimate copula parameters by Inference for margins method. By copulas we deduce Value at Risk for an imaginary portfolio, composed of our four financial indices.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.12608/26693