Copula based models for serial dependence

Detalhes bibliográficos
Autor(a) principal: Mendes, Beatriz Vaz de Melo
Data de Publicação: 2010
Outros Autores: Aíube, Cecília
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/10048
Resumo: Indisponível.
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spelling Mendes, Beatriz Vaz de MeloAíube, Cecília2019-10-10T15:42:07Z2023-11-30T03:01:13Z2010MENDES, Beatriz Vaz de Melo; AÍUBE, Cecília. Copula based models for serial dependence. Rio de Janeiro: UFRJ, 2010. 18 p. (Relatórios COPPEAD, 389).97885750807641518-3335http://hdl.handle.net/11422/10048Indisponível.This paper is concerned with the statistical modeling of the dependence structure in the ¯rst and second moments of a univariate ¯nancial time series using the concept of copulas. The appealing feature of the method is that it captures not just the linear form of dependence (a job usually accomplished by ARIMA linear models), but also the non-linear ones, including tail dependence, the dependence occuring only among extreme values. In addition we investigate the changes in the mean modeling after whitening the data through the application of GARCH type ¯lters. Sixty two U.S. stocks are selected to illustrate the methodologies. The copula based results corroborate empirical evidences on the existence of linear and non-linear dependence at the mean and at the volatility levels, and contributes to practice by providing yet a simple but powerful method for capturing the dynamics in a time series. Applications may follow and include VaR calculation, simulations based derivatives pricing, and asset allocation decisions. We recall that the literature is still inconclusive as to the most appropriate Value-at-Risk computing approach, which seems to be a data dependent decision.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-10-10T15:42:07Z No. of bitstreams: 1 RC_389-Comp..pdf: 326769 bytes, checksum: ac1985ec3fa690a10008643ad0905ebe (MD5)Made available in DSpace on 2019-10-10T15:42:07Z (GMT). No. of bitstreams: 1 RC_389-Comp..pdf: 326769 bytes, checksum: ac1985ec3fa690a10008643ad0905ebe (MD5) Previous issue date: 2010engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasCópulas (Estatística matemática)FinanceCopulas (Mathematical Statistics)Working paperCopula based models for serial dependenceinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report389abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJORIGINALRC_389-Comp..pdfRC_389-Comp..pdfapplication/pdf326769http://pantheon.ufrj.br:80/bitstream/11422/10048/1/RC_389-Comp..pdfac1985ec3fa690a10008643ad0905ebeMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/10048/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD5211422/100482023-11-30 00:01:13.561oai:pantheon.ufrj.br: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Repositório de PublicaçõesPUBhttp://www.pantheon.ufrj.br/oai/requestopendoar:2023-11-30T03:01:13Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.en.fl_str_mv Copula based models for serial dependence
title Copula based models for serial dependence
spellingShingle Copula based models for serial dependence
Mendes, Beatriz Vaz de Melo
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Cópulas (Estatística matemática)
Finance
Copulas (Mathematical Statistics)
Working paper
title_short Copula based models for serial dependence
title_full Copula based models for serial dependence
title_fullStr Copula based models for serial dependence
title_full_unstemmed Copula based models for serial dependence
title_sort Copula based models for serial dependence
author Mendes, Beatriz Vaz de Melo
author_facet Mendes, Beatriz Vaz de Melo
Aíube, Cecília
author_role author
author2 Aíube, Cecília
author2_role author
dc.contributor.author.fl_str_mv Mendes, Beatriz Vaz de Melo
Aíube, Cecília
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Cópulas (Estatística matemática)
Finance
Copulas (Mathematical Statistics)
Working paper
dc.subject.por.fl_str_mv Finanças
Cópulas (Estatística matemática)
dc.subject.eng.fl_str_mv Finance
Copulas (Mathematical Statistics)
Working paper
description Indisponível.
publishDate 2010
dc.date.issued.fl_str_mv 2010
dc.date.accessioned.fl_str_mv 2019-10-10T15:42:07Z
dc.date.available.fl_str_mv 2023-11-30T03:01:13Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.citation.fl_str_mv MENDES, Beatriz Vaz de Melo; AÍUBE, Cecília. Copula based models for serial dependence. Rio de Janeiro: UFRJ, 2010. 18 p. (Relatórios COPPEAD, 389).
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/10048
dc.identifier.isbn.pt_BR.fl_str_mv 9788575080764
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv MENDES, Beatriz Vaz de Melo; AÍUBE, Cecília. Copula based models for serial dependence. Rio de Janeiro: UFRJ, 2010. 18 p. (Relatórios COPPEAD, 389).
9788575080764
1518-3335
url http://hdl.handle.net/11422/10048
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.publisher.initials.fl_str_mv UFRJ
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Instituto COPPEAD de Administração
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
bitstream.url.fl_str_mv http://pantheon.ufrj.br:80/bitstream/11422/10048/1/RC_389-Comp..pdf
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repository.name.fl_str_mv Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)
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