Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas

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Subfields: Finance

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Pair-Copula Constructions for Financial Applications: A Review (2016, methodology): “To account for non-linear dependence between bid-ask spreads across ﬁrms, Weiß and Supper [62] proposed a model based on a D-vine to forecast liquidity-adjusted risk measures for a multivariate stock portfolio.”
Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “2012), the forecasting of portfolio Value-at-Risk (e.g. Weiß and Supper, 2013), the modeling of systematic dependence risk (e.g., Brechmann et al., 2013), and the optimization and management of portfolios (e.g., Low et al., 2013; Brechmann and Czado, 2013).7 Our main results show that the gold…”