Tail Dependence in Financial Markets: A Dynamic Copula Approach
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model’s parameters and in the computation of Value-at-Risk (VaR). Result...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-11-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/4/116 |