Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084894 | International Review of Financial Analysis | 2014 | 17 Pages |
Abstract
Drawing on a sample of daily data covering both calm and turbulent market phases, we analyze portfolios consisting of German Stocks, national indices and FX-rates. VaR forecasts are evaluated using statistical backtesting and Basel II criteria. The extensive empirical application favors the elliptical copula approach combined with extreme value theory (EVT) models for individual returns. 99% VaR forecasts from the EVT-GARCH-copula model clearly outperform estimates from alternative models accounting for dynamic conditional correlations and volatility spillover for all asset classes in times of financial crisis.
Related Topics
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Authors
T. Berger, M. Missong,