A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula‐Based TAR Approach
提出了一个阈值Copula非线性时间序列模型，用于评估金融投资组合的风险度量，该模型能灵活捕捉单个时间序列及其依赖结构中的非线性特征，并通过实际数据验证了其在风险价值预测上的准确性提升。
We propose a threshold copula‐based nonlinear time series model for evaluating quantitative risk measures for financial portfolios with a flexible structure to incorporate nonlinearities in both univariate (component) time series and their dependent structure. We incorporate different dependent structures of asset returns over different market regimes, which are manifested in their price levels. We estimate the model parameters by a two‐stage maximum likelihood method. Real financial data and appropriate statistical tests are used to illustrate the efficacy of the proposed model. Simulated results for sampling distribution of parameters estimates are given. Empirical results suggest that the proposed model leads to significant improvement of the accuracy of value‐at‐risk forecasts at the portfolio level.