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.
ECONOMICS AND FINANCE
2018-02-05
Value at Risk
Lauree magistrali
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/26693