Universität zu Köln

Eckernkemper, Tobias (2018). Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. J. Financ. Econom., 16 (1). S. 63 - 118. OXFORD: OXFORD UNIV PRESS. ISSN 1479-8417

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Abstract

In this article, a copula-based model is proposed to estimate the marginal expected shortfall. The model is based on a dynamic mixture copula. The proposed model captures time-varying nonlinear dependence, which is assumed to be constant in alternative approaches. The time-varying copula parameters are endowed with generalized autoregressive score dynamics. For the institutions of the Dow Jones Industrial Average, several variations of the proposed model are considered and compared with alternative, competing models. It is shown that the proposed model outperforms standard benchmarks and produces reasonable findings regarding the risk contributions of the sectors of the Dow Jones Industrial Average.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Eckernkemper, Tobias UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-163991
DOI:	10.1093/jjfinec/nbx026
Journal or Publication Title:	J. Financ. Econom.
Volume:	16
Number:	1
Page Range:	S. 63 - 118
Date:	2018
Publisher:	OXFORD UNIV PRESS
Place of Publication:	OXFORD
ISSN:	1479-8417
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; HIGH-FREQUENCY DATA; DYNAMIC COPULA; ASYMMETRIC DEPENDENCE; CONFIDENCE SET; T COPULA; VOLATILITY; STOCKS Multiple languages Business, Finance; Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/16399