Proceedings of the 2nd International Conference on Science and Social Research (ICSSR 2013)

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

Authors
Manying Bai, Fanghui Ma, Fengjuan Guo
Corresponding Author
Manying Bai
Available Online July 2013.
DOI
https://doi.org/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.
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Proceedings
2nd International Conference on Science and Social Research (ICSSR 2013)
Part of series
Advances in Intelligent Systems Research
Publication Date
July 2013
ISBN
978-90-78677-75-8
ISSN
1951-6851
DOI
https://doi.org/10.2991/icssr-13.2013.131How to use a DOI?
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  -