Marginal or copula: Which one is critical?

Pilsun Choi; Insik Min

doi:10.1080/13504851.2013.826870

Marginal or copula: Which one is critical?

Pilsun Choi
, Insik Min

Research output: Contribution to journal › Article › peer-review

Abstract

We construct twelve marginal-copula combinations using three marginal distributions (normal, t and S_U -normal) and four types of copulas (normal, skewed normal, t and skewed t). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value at Risk (VaR) estimation than the selection of copula specification.

Original language	English
Pages (from-to)	1462-1465
Number of pages	4
Journal	Applied Economics Letters
Volume	20
Issue number	16
DOIs	https://doi.org/10.1080/13504851.2013.826870
Publication status	Published - 2013

Keywords

VaR
copula
marginal distribution

Access to Document

10.1080/13504851.2013.826870

Cite this

@article{11930676e0d5445896130b69bcb2d174,

title = "Marginal or copula: Which one is critical?",

abstract = "We construct twelve marginal-copula combinations using three marginal distributions (normal, t and SU -normal) and four types of copulas (normal, skewed normal, t and skewed t). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value at Risk (VaR) estimation than the selection of copula specification.",

keywords = "VaR, copula, marginal distribution",

author = "Pilsun Choi and Insik Min",

year = "2013",

doi = "10.1080/13504851.2013.826870",

language = "English",

volume = "20",

pages = "1462--1465",

journal = "Applied Economics Letters",

issn = "1350-4851",

publisher = "Routledge",

number = "16",

}

TY - JOUR

T1 - Marginal or copula

T2 - Which one is critical?

AU - Choi, Pilsun

AU - Min, Insik

PY - 2013

Y1 - 2013

N2 - We construct twelve marginal-copula combinations using three marginal distributions (normal, t and SU -normal) and four types of copulas (normal, skewed normal, t and skewed t). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value at Risk (VaR) estimation than the selection of copula specification.

AB - We construct twelve marginal-copula combinations using three marginal distributions (normal, t and SU -normal) and four types of copulas (normal, skewed normal, t and skewed t). Bivariate empirical evidence shows that the choice of marginal distribution plays a more important role in the Value at Risk (VaR) estimation than the selection of copula specification.

KW - VaR

KW - copula

KW - marginal distribution

UR - https://www.scopus.com/pages/publications/84883443330

U2 - 10.1080/13504851.2013.826870

DO - 10.1080/13504851.2013.826870

M3 - Article

AN - SCOPUS:84883443330

SN - 1350-4851

VL - 20

SP - 1462

EP - 1465

JO - Applied Economics Letters

JF - Applied Economics Letters

IS - 16

ER -

Marginal or copula: Which one is critical?

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this