Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets

© Springer International Publishing Switzerland 2016. Many empirical works used risk modeling under the assumption of Gaussian distribution to investigate the market risk. The Gaussian assumption may not be appropriate for risk estimation techniques in some situations. In this study, we used the ext...

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Main Authors: Ayusuk A., Sriboonchitta S.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952673734&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42493
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-424932017-09-28T04:27:26Z Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets Ayusuk A. Sriboonchitta S. © Springer International Publishing Switzerland 2016. Many empirical works used risk modeling under the assumption of Gaussian distribution to investigate the market risk. The Gaussian assumption may not be appropriate for risk estimation techniques in some situations. In this study, we used the extreme value theory (EVT) to examine more precisely the tail distribution of market risk and incorporate high dimensional copulas to explore the dependence between stock markets. We gathered data of stock markets from Asean countries (Thailand, Singapore, Malaysia, Indonesia and the Philippines) to simulate the portfolio analysis during and post subprime crisis. The results found that D-vine copula GARCH-EVT model can simulate the efficient frontier of portfolios greater than other models. Furthermore, we also found the positive dependence for the overall markets. 2017-09-28T04:27:26Z 2017-09-28T04:27:26Z 2016-01-01 Book Series 1860949X 2-s2.0-84952673734 10.1007/978-3-319-27284-9_17 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952673734&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42493
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing Switzerland 2016. Many empirical works used risk modeling under the assumption of Gaussian distribution to investigate the market risk. The Gaussian assumption may not be appropriate for risk estimation techniques in some situations. In this study, we used the extreme value theory (EVT) to examine more precisely the tail distribution of market risk and incorporate high dimensional copulas to explore the dependence between stock markets. We gathered data of stock markets from Asean countries (Thailand, Singapore, Malaysia, Indonesia and the Philippines) to simulate the portfolio analysis during and post subprime crisis. The results found that D-vine copula GARCH-EVT model can simulate the efficient frontier of portfolios greater than other models. Furthermore, we also found the positive dependence for the overall markets.
format Book Series
author Ayusuk A.
Sriboonchitta S.
spellingShingle Ayusuk A.
Sriboonchitta S.
Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
author_facet Ayusuk A.
Sriboonchitta S.
author_sort Ayusuk A.
title Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
title_short Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
title_full Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
title_fullStr Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
title_full_unstemmed Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
title_sort copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952673734&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42493
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