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B1628
Title: Modeling financial returns in different regions with a regime switching regular vine copula. Authors:  Artur Machno - AGH University of Science and Technology (Poland) [presenting]
Henryk Gurgul - AGH University of Science and Technology (Poland)
Abstract: The dependence structure of financial returns can be defined in different ways. The multivariate distribution of the univariate residuals is analyzed. Those distributions are described by multivariate vine copulas. Dependences are analyzed in terms of time and geography. Time variability is introduced by Markov regime switching component. Additionally, results for different regions are compared. Expected shortfall and value at risk are investigated in addition to differences between copulas and regime variables between regions.