An application of PCC model: risk measurement of extreme event in Chinese stock market

DOI

10.2991/icssr-13.2013.131How to use a DOI?

Keywords

pair-copula construction; exteme event loss; Monte Carlo

Abstract

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.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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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  - Proceedings of the 2nd International Conference on Science and Social Research (ICSSR 2013)
PB  - Atlantis Press
SP  - 567
EP  - 570
SN  - 1951-6851
UR  - https://doi.org/10.2991/icssr-13.2013.131
DO  - 10.2991/icssr-13.2013.131
ID  - Bai2013/07
ER  -