Local Estimation of Copula Based Value-at-Risk
In this paper we propose the local maximum likelihood method for dynamically estimate copula parameters. We study the estimates statistical properties and derive the expression for their asymptotic variance in the case of Gaussian copulas. The local estimates are able to detect temporal changes in t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2009-05-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1426 |