The paper proposes a new copula for modeling higher-order dependencies between pairs of portfolio assets, employing orthogonal polynomials to model symmetric co-kurtoses. Skewness and leptokurtosis of portfolio margins are modeled either with the Gram–Charlier expansion of the Normal distribution or Gram–Charlier-like expansions of leptokurtic laws. Details on the estimation method of this copula are provided, and a simulation study is carried out to assess its potential range of applicability with respect to widely employed alternatives in the copula literature. Empirical evidence of the suitability of this approach to model financial data and compute risk measures is provided.

Quatto, P., Vacca, G., Zoia, M. (2021). A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 58(November 2021) [10.1016/j.najef.2021.101529].

A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors

Quatto P.
Primo
Membro del Collaboration Group
;
2021

Abstract

The paper proposes a new copula for modeling higher-order dependencies between pairs of portfolio assets, employing orthogonal polynomials to model symmetric co-kurtoses. Skewness and leptokurtosis of portfolio margins are modeled either with the Gram–Charlier expansion of the Normal distribution or Gram–Charlier-like expansions of leptokurtic laws. Details on the estimation method of this copula are provided, and a simulation study is carried out to assess its potential range of applicability with respect to widely employed alternatives in the copula literature. Empirical evidence of the suitability of this approach to model financial data and compute risk measures is provided.
Articolo in rivista - Articolo scientifico
Scientifica
Co-kurtosis; Copula; GARCH; Gram–Charlier expansion; Risk measures;
English
Quatto, P., Vacca, G., Zoia, M. (2021). A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 58(November 2021) [10.1016/j.najef.2021.101529].
Quatto, P; Vacca, G; Zoia, M
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/388769
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