Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6895019 | European Journal of Operational Research | 2018 | 36 Pages |
Abstract
We introduce a new multivariate model of multiple asset returns. Our model is based on weighted indexed semi-Markov chains to describe the single (marginals) asset returns, whereas the dependence structure among the considered assets is described by introducing copula functions. A real application of the proposed multivariate model is presented based on the evolution of 6 stocks from the Italian Stock Exchange. We provide empirical evidence that the model is able to correctly reproduce statistical regularities of multivariate real data such as the cross-correlation function, value-at-risk, marginal value-at-risk and conditional value-at-risk. The model is also used for volatility forecasting of each stock.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Guglielmo D'Amico, Filippo Petroni,