Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction

Doman, Ryszard

doi:10.12775/DEM.2010.003

Author

Doman Ryszard (Adam Mickiewicz University in Poznań, Poland)

Title

Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Modelowanie struktury zależności portfela indeksu WIG20 za pomocą kaskady kopuli dwuwymiarowych

Source

Dynamic Econometric Models, 2010, vol. 10, s. 31-42, rys., tab., bibliogr. 14 poz.

Keyword

Indeks giełdowy, Portfel akcji, Rozkład t-Studenta
Stock market indexes, Equity portfolios, Student's t-distribution

Note

summ., streszcz.

Abstract

W artykule przedstawiono wyniki zastosowania nowej metodologii modelowania zależności pomiędzy zwrotami składników portfela wysokowymiarowego. Idea tego podejścia polega na dekompozycji gęstości rozkładu łącznego na iloczyn, w którym występują jedynie gęstości kopuli dwuwymiarowych pewnych rozkładów warunkowych wyznaczonych przez modelowane zmienne. Badania dotyczą stóp zwrotu z akcji wchodzących w skład indeksu WIG20 i potwierdzają pewną przewagę nowej metodologii nad podejściem, w którym stosowany jest model DCC Engle'a z wielowymiarowym rozkładem t Studenta. (abstrakt oryginalny)

Elliptical distributions commonly applied to modeling the returns of stocks in highdimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are very diverse. The MGARCH and standard dynamic copula models are often of little usefulness in such cases. In this paper, we apply a methodology called the pair-copula decomposition to model the joint conditional distribution of the returns on stocks constituting the WIG20 index, and show some advantage of this construction over the approach using the t Student DCC model. (original abstract)

Accessibility

The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business

Full text

Bibliography

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Cited by

ISSN

1234-3862

Language

eng

URI / DOI

BazEkon - The Main Library of the Cracow University of Economics

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