Article ID Journal Published Year Pages File Type
5083738 International Review of Economics & Finance 2013 15 Pages PDF
Abstract
► This paper illustrates the potential model risk in estimating HPVaR. ► The results show that HPVaR can be improved by using the conditional copulas. ► Backtesting diagnostics indicate that the copula-based HPVaR outperforms. ► The risk management models should apply a smaller nominal coverage rate.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk
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