Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions

作者：

Highlights：

• We compute VaR, CAViaR, ES and CARES from a serial dependence PCC structure.

• There is difference in dependence when distinct lagged influence is considered.

• We find absolute superiority of the proposed approach over traditional methods.

摘要

•We compute VaR, CAViaR, ES and CARES from a serial dependence PCC structure.•There is difference in dependence when distinct lagged influence is considered.•We find absolute superiority of the proposed approach over traditional methods.

论文关键词：Risk management,Risk measures,Serial dependence,Pair-copula construction

论文评审过程：Available online 22 April 2015, Version of Record 15 May 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.04.023