Extreme Risk Value and Dependence Structure of the China Securities Index 300

Chong, Terence Tai Leung and Ding, Yue and Pang, Tianxiao (2017): Extreme Risk Value and Dependence Structure of the China Securities Index 300. Published in: Economics Bulletin , Vol. 1, No. 37 (20 March 2017): pp. 520-529.

Abstract

A time-varying copulas–conditional value at risk (CVaR) model is estimated to analyze the extreme risk value and dependence structure of the China Securities Index 300 (CSI 300) and index futures portfolios. The goodness-of-fit test as well as the in-sample and out-of-sample tests show that time-varying copulas outperform constant copulas. Specifically, the Student’s t, normal, Plackett, and the rotated Gumbel copulas outperform the rotated Clayton copulas.

• Item Type: MPRA Paper
• Language: English
• Keywords: CVaR model; Time-varying copulas.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets

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