Extreme Risk Value and Dependence Structure of the China Securities Index 300

Chong, Terence Tai Leung and Ding, Yue and Pang, Tianxiao (2017): Extreme Risk Value and Dependence Structure of the China Securities Index 300. Published in: Economics Bulletin , Vol. 37, No. 1 (20 March 2017): pp. 520-529.

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Abstract

A time-varying copulas–conditional value at risk (CVaR) model is estimated to analyze the extreme risk value and dependence structure of the China Securities Index 300 (CSI 300) and index futures portfolios. The goodness-of-fit test as well as the in-sample and out-of-sample tests show that time-varying copulas outperform constant copulas. Specifically, the Student’s t, normal, Plackett, and the rotated Gumbel copulas outperform the rotated Clayton copulas.

Item Type:	MPRA Paper
Original Title:	Extreme Risk Value and Dependence Structure of the China Securities Index 300
Language:	English
Keywords:	CVaR model; Time-varying copulas.
Subjects:	C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes G - Financial Economics > G1 - General Financial Markets
Item ID:	80573
Depositing User:	Terence T L Chong
Date Deposited:	03 Aug 2017 23:10
Last Modified:	27 Sep 2019 16:47
References:	Chollete, L., Heinen, A. and A. Valdesogo (2009) “Modeling International Financial Returns with a Multivariate Regime-Switching Copula” Journal of Financial Econometrics 7(4), 437–480. Creal, D., Koopman, S. J. and A. Lucas (2011) “A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations” Journal of Business & Economic Statistics 29(4), 552–563. Giacomini, R. and H. White (2006) “Tests of Conditional Predictive Ability” Econometrica 74(6), 1545–1578. Joe, H. (1997) Multivariate Models and Dependence Concepts, Chapman & Hall: London. Patton, A. J. (2012) “A Review of Copula Models for Economic Time Series” Journal of Multivariate Analysis 110, 4–18. Rivers, D. and Q. Vuong (2002) “Model Selection Tests for Nonlinear Dynamic Models” Econometrics Journal 5(1), 1–39.
URI:	https://mpra.ub.uni-muenchen.de/id/eprint/80573

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• Extreme Risk Value and Dependence Structure of the China Securities Index 300. (deposited 02 Aug 2017 14:51)
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