Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/227971 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
AGDI Working Paper No. WP/19/092
Verlag: 
African Governance and Development Institute (AGDI), Yaoundé
Zusammenfassung: 
We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13 major commodity markets (which include three energy commodities, six agricultural commodities and four precious metals prices) from 2 January 2003 to 19 December 2016. Dividing our sample into three sub-periods, namely pre-GFC, GFC and post-GFC, we find that the dependencies among commodities undergo changes in a complex manner, changing in different financial conditions, and that the Student-t copula appears on the maximum number of occasions, especially during the GFC period, signifying the existence of fatter tails in the distributions of returns. We further show that the co-dependencies computed using R-vine copulas are best suited to compute the portfolio VaR during the considered time period.
Schlagwörter: 
R-vine
VaR
Dependence structure
Tree structure
Commodity markets
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
660.61 kB





Publikationen in EconStor sind urheberrechtlich geschützt.