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	Provedor de dados AgEcon (1) Autor Bastianin, Andrea (1) Palavra-chave C32 (1) C52 (1) C53 (1) Copula functions (1) Forecasting (1) G17 (1) Q43 (1) Risk and Uncertainty (1) Value-At-Risk (1) Mais... Tipo do documento Working or Discussion Paper (1) Ano 2009 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector AgEcon Bastianin, Andrea. In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their... Tipo: Working or Discussion Paper Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43. Ano: 2009 URL: http://purl.umn.edu/50452 Registros recuperados: 1 Primeira ... 1 ... Última

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