Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy

Volume: 41, Issue: 2, Pages: 179 - 202
Published: Aug 1, 2013
Abstract
In this paper, we analyze the accuracy of the copula-GARCH and Dynamic Conditional Correlation (DCC) models for forecasting the value-at-risk (VaR) and expected shortfall (ES) of bivariate portfolios. We then try to answer two questions: First, does the correlation-based DCC model outperform the copula models? Second, how can the optimal model for forecasting portfolio risk be identified via in-sample analysis? We address these questions using...
Paper Details
Title
Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
Published Date
Aug 1, 2013
Volume
41
Issue
2
Pages
179 - 202
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