Duan, Fang, Manner, Hans and Wied, Dominik (2022). Model and Moment Selection in Factor Copula Models. J. Financ. Econom., 20 (1). S. 45 - 76. OXFORD: OXFORD UNIV PRESS. ISSN 1479-8417

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Abstract

This article develops a simultaneous model and moment selection procedure for factor copula models. Since the density of the factor copula is generally not known in closed form, widely used likelihood or moment-based model selection criteria cannot be directly applied on factor copulas. The new approach is inspired by the methods for generalized methods of moments proposed by Andrews (1999) and Andrews and Lu (2001). The consistency of the procedure is proved and Monte Carlo simulations show its good performance in finite samples in different scenarios of sample sizes and dimensions. The impact of the choice of moments in selected regions of the support on model selection and value-at-risk prediction is further examined by simulation and an application to a portfolio consisting of ten stocks in the Deutscher Alctienindex (DAX30) index.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Duan, FangUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Manner, HansUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Wied, DominikUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-679280
DOI: 10.1093/jjfinec/nbz039
Journal or Publication Title: J. Financ. Econom.
Volume: 20
Number: 1
Page Range: S. 45 - 76
Date: 2022
Publisher: OXFORD UNIV PRESS
Place of Publication: OXFORD
ISSN: 1479-8417
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
GENERALIZED-METHODMultiple languages
Business, Finance; EconomicsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/67928

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