An application of PCC model: risk measurement of extreme event in Chinese stock market
Manying Bai, Fanghui Ma, Fengjuan Guo
Available Online July 2013.
- https://doi.org/10.2991/icssr-13.2013.131How to use a DOI?
- pair-copula construction; exteme event loss; Monte Carlo
- We focus on analyzing extreme event on stock market with the pair-copula constructions (PCC) based multivariate models with GARCH (p, q) margins. We utilize the PCC model to get the estimation of joint PDF parameters. Then, we use six indices construct the decomposition of the PCC copula. As for different tail dependence of these log-returns series, we build the estimating model with bivariate t-copulas. Finally, we apply Monte Carlo method to simulate the extreme loss with parameters estimated from decomposing steps.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Manying Bai AU - Fanghui Ma AU - Fengjuan Guo PY - 2013/07 DA - 2013/07 TI - An application of PCC model: risk measurement of extreme event in Chinese stock market BT - 2nd International Conference on Science and Social Research (ICSSR 2013) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/icssr-13.2013.131 DO - https://doi.org/10.2991/icssr-13.2013.131 ID - Bai2013/07 ER -