Função de acoplamento t-Student assimetrica : modelagem de dependencia assimetrica / Skewed t-Student copula function : skewed dependence modelling

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

The Skewed t-Student distribution family, constructed upon the multivariate normal mixture distribution, known as mean-variance mixture, composed with the Inverse-Gamma distribution, has many desirable flexibility properties for many distribution asymmetry structures. These properties are explored by constructing copula functions with asymmetric dependence. In this work the properties and characteristics of the Skewed t-Student distribution and the construction of a respective copula function are studied, presenting different dependence structures that the copula function generates, including tail dependence asymmetry. Parameter estimation methods are presented for the copula, with applications up to the 3rd dimension. This copula function is used to compose an ARMAGARCH- Copula model with Skewed t-Student marginal distribution that is adjusted to logreturns of Petroleum and Gasoline prices and log-returns of the AMEX Oil Index, emphasizing the return s tail distribution. The model will be compared, by the means of the VaR (Value at Risk) and Akaike s Information Criterion, along with other Goodness-of-fit measures, with models based on the Symmetric t-Student Copula

ASSUNTO(S)

copula multivariate analysis distribution (probability) analise multivariada risco (economia) - modelos matemáticos distribuição (probabilidades) copulas risk (economics)

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