期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2017
卷号：9
期号：10
页码：155
DOI：10.5539/ijef.v9n10p155
出版社：Canadian Center of Science and Education
摘要：In this paper, we introduce a new approach to modeling dependence between international financial returns over time, combining time-varying copulas and the Markov switching model. We apply these copula models and also those proposed by Patton (2006), Jondeau and Rockinger (2006) and Silva Filho, Ziegelmann, and Dueker (2012) to the return data of the FTSE-100, CAC-40 and DAX indexes. We are particularly interested in comparing these methodologies in terms of the resulting dynamics of dependence and the models’ abilities to forecast possible capital losses. Because risks related to extreme events are important for risk management, we compare and select the models based on VaR forecasts. Interestingly, all the models identify a long period of high dependence between the returns beginning in 2007, when the subprime crisis was evolving. Surprisingly, the elliptical copulas perform best in forecasting the extreme quantiles of the portfolios returns.
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