BibTex RIS Kaynak Göster
Yıl 2016, Cilt: 65 Sayı: 2, 175 - 188, 01.08.2016
https://doi.org/10.1501/Commua1_0000000768

Öz

Kaynakça

  • Akaike, H., A new look at the statistical model identi…cation, Automatic Control, IEEE Transactions on (1974), 19, 716-723.
  • Schwarz, G., Estimating the dimension of a model, Annals of Statistics (1978), 6, 461-464.
  • Emrechts, P., McNeil, A. and Straumann D., Correlation and dependence in risk manage- ment: properties and pitfalls, In Risk Management Value at Risk and Beyond (Edited by M. Dempster) (2002), 176-223, (Cambridge University Press).
  • Joe, H., Multivariate Models and Dependence Concepts, Chapman & Hall/CRC, London 1997.
  • Nelsen, R.B., An Introduction to Copulas, (second ed), Springer, New York, 2006.
  • Cherubini, U., Luciano, E. and Vecchiato, W., Copula Methods in Finance, John Wiley and Sons, New York, 2004.
  • Wei, Y. and Zhang, S., Multivariate Copula-GARCH Model and Its Applications in Financial Risk Analysis [J], Application of Statistics and Management (2007), 3, 008.
  • Ozun, A., Cifter, A.,Portfolio value-at-risk with time-varying copula: Evidence from the Americans, Marmara University (2007), MPRA Paper No. 2711.
  • Jondeau, E., and Rockinger, M., The copula-garch model of conditional dependencies: An international stock market application. Journal of international money and …nance (2007), 25(5), 827-853.
  • Huang, J. J., Lee, K. J., Liang, H. and Lin, W.F., Estimating value at risk of portfolio by conditional copula-GARCH method, Insurance: Mathematics and Economics (2009), 45, 315- 324.
  • Rockafellar, R. T. and Ursayev, S., Optimization of conditional value at risk, Journal of Risk (2002), 2, 21-40.
  • Wu, Z.X., Chen, M. and Ye, W.Y., Risk Analysis of Portfolio by Copula-GARCH, Journal of Systems Engineering Theory and Practice (2006), 2(8), 45-52.
  • Wang, Z. R., Chen, X. H., Jin, Y. B., Zhou, Y.J., Estimating risk of foreign exchange portfolio: Using V aR and CV aR based on GARCH-EVT-Copula model, Physica A (2010), 389, 4918- 4928.
  • He, H., Li, P., Dynamic asset allocation based on copula and CV aR. International Conference on. IEEE (2011), 1-4.
  • Gombay, E., and Horváth, L., On the rate of approximations for maximum likelihood tests in change-point models, Journal of Multivariate Analysis (1996), 56(1), 120-152.
  • Gombay, E., and Horvath, L., Change-points and bootstrap, Environmetrics (1999), 10(6), 725-736.
  • Cs½org½o, M., Horváth, L., Limit Theorems in Change-point Analysis,Wiley: Chichester, 1997. [18] Zhu, X., Li, Y., Liang, C., Chen, J., Wu, D., Copula based Change Point Detection for Financial Contagion in Chinese Banking. Procedia Computer Science (2013), 17, 619-626.
  • Dias, A., and Embrechts, P., Change-point analysis for dependence structures in …nance and insurance, Novos Rumos em Estatistica (Ed. C. Carvalho, F. Brilhante and F. Rosado), Sociedade Portuguesa de Estatstica, Lisbon (2002), 69-86.
  • Dias, A., and Embrechts, P., Dynamic copula models for multivariate high-frequency data in …nance. Manuscript, ETH Zurich, 2004.
  • Guegan, D., and Zhang, J., Change analysis of a dynamic copula for measuring dependence in multivariate …nancial data. Quantitative Finance (2010), 10(4), 421-430.
  • Sklar, A., Functions De Repartition An Dimensions At Leurs Marges, Publications De L’ınstitut De Statistique De L’université De Paris (1959), 8, 229-231.
  • Bollerslev, T., Generalized autoregressive conditional heteroskedasticity, (1986), Journal of econometrics, 31 (3), 307-327.
  • Genest, B. Rémillard, D. Beaudoin., Goodness-of-…t tests for copulas: A review and a power study. Mathematics and Economics (2009), 44, 199-213.
  • http://evds.tcmb.gov.tr/cbt.html [12.01.2015].
  • Patton, A., Modelling Asymmetric Exchange Rate Dependence. International Economic Re- view (2006), 47(2), 527-556.
  • Current address : Emel KIZILOK KARA, Kirikkale University, Faculty of Arts and Sciences, Department of Actuarial Science, Kirikkale - TURKEY
  • E-mail address : emel.kizilok@gmail.com
  • Current address : Sibel ACIK KEMALOGLU Ankara University, Faculty of Sciences, Depart- ment. of Statistics, Ankara, TURKEY (Corresponding Author)
  • E-mail address : acik@science.ankara.edu.tr

PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH

Yıl 2016, Cilt: 65 Sayı: 2, 175 - 188, 01.08.2016
https://doi.org/10.1501/Commua1_0000000768

Öz

In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for financial data. Determining thebest model of dependency between financial data has an important role intaking appropriate investment decisions. Due to the financial data is alwaysağected by the *uctuations of the economic factors, the dynamic model washandled. On the other hand change point detection is also important for investment decisions. So this study presents an application of dynamic copulamodel with change point approach. We take the currency data (USD andEUR) from Turkish Central Bank to construct a portfolio. This study consists of two stages. In the first stage, the marginal distributions and copulamodels of currency data are defined for full sample, and the portfolio optimization based on CV aR is performed. In the second stage, the change periodsof copula models are determined using binary segmentation method, and the portfolio optimization based on CV aR is performed for each period

Kaynakça

  • Akaike, H., A new look at the statistical model identi…cation, Automatic Control, IEEE Transactions on (1974), 19, 716-723.
  • Schwarz, G., Estimating the dimension of a model, Annals of Statistics (1978), 6, 461-464.
  • Emrechts, P., McNeil, A. and Straumann D., Correlation and dependence in risk manage- ment: properties and pitfalls, In Risk Management Value at Risk and Beyond (Edited by M. Dempster) (2002), 176-223, (Cambridge University Press).
  • Joe, H., Multivariate Models and Dependence Concepts, Chapman & Hall/CRC, London 1997.
  • Nelsen, R.B., An Introduction to Copulas, (second ed), Springer, New York, 2006.
  • Cherubini, U., Luciano, E. and Vecchiato, W., Copula Methods in Finance, John Wiley and Sons, New York, 2004.
  • Wei, Y. and Zhang, S., Multivariate Copula-GARCH Model and Its Applications in Financial Risk Analysis [J], Application of Statistics and Management (2007), 3, 008.
  • Ozun, A., Cifter, A.,Portfolio value-at-risk with time-varying copula: Evidence from the Americans, Marmara University (2007), MPRA Paper No. 2711.
  • Jondeau, E., and Rockinger, M., The copula-garch model of conditional dependencies: An international stock market application. Journal of international money and …nance (2007), 25(5), 827-853.
  • Huang, J. J., Lee, K. J., Liang, H. and Lin, W.F., Estimating value at risk of portfolio by conditional copula-GARCH method, Insurance: Mathematics and Economics (2009), 45, 315- 324.
  • Rockafellar, R. T. and Ursayev, S., Optimization of conditional value at risk, Journal of Risk (2002), 2, 21-40.
  • Wu, Z.X., Chen, M. and Ye, W.Y., Risk Analysis of Portfolio by Copula-GARCH, Journal of Systems Engineering Theory and Practice (2006), 2(8), 45-52.
  • Wang, Z. R., Chen, X. H., Jin, Y. B., Zhou, Y.J., Estimating risk of foreign exchange portfolio: Using V aR and CV aR based on GARCH-EVT-Copula model, Physica A (2010), 389, 4918- 4928.
  • He, H., Li, P., Dynamic asset allocation based on copula and CV aR. International Conference on. IEEE (2011), 1-4.
  • Gombay, E., and Horváth, L., On the rate of approximations for maximum likelihood tests in change-point models, Journal of Multivariate Analysis (1996), 56(1), 120-152.
  • Gombay, E., and Horvath, L., Change-points and bootstrap, Environmetrics (1999), 10(6), 725-736.
  • Cs½org½o, M., Horváth, L., Limit Theorems in Change-point Analysis,Wiley: Chichester, 1997. [18] Zhu, X., Li, Y., Liang, C., Chen, J., Wu, D., Copula based Change Point Detection for Financial Contagion in Chinese Banking. Procedia Computer Science (2013), 17, 619-626.
  • Dias, A., and Embrechts, P., Change-point analysis for dependence structures in …nance and insurance, Novos Rumos em Estatistica (Ed. C. Carvalho, F. Brilhante and F. Rosado), Sociedade Portuguesa de Estatstica, Lisbon (2002), 69-86.
  • Dias, A., and Embrechts, P., Dynamic copula models for multivariate high-frequency data in …nance. Manuscript, ETH Zurich, 2004.
  • Guegan, D., and Zhang, J., Change analysis of a dynamic copula for measuring dependence in multivariate …nancial data. Quantitative Finance (2010), 10(4), 421-430.
  • Sklar, A., Functions De Repartition An Dimensions At Leurs Marges, Publications De L’ınstitut De Statistique De L’université De Paris (1959), 8, 229-231.
  • Bollerslev, T., Generalized autoregressive conditional heteroskedasticity, (1986), Journal of econometrics, 31 (3), 307-327.
  • Genest, B. Rémillard, D. Beaudoin., Goodness-of-…t tests for copulas: A review and a power study. Mathematics and Economics (2009), 44, 199-213.
  • http://evds.tcmb.gov.tr/cbt.html [12.01.2015].
  • Patton, A., Modelling Asymmetric Exchange Rate Dependence. International Economic Re- view (2006), 47(2), 527-556.
  • Current address : Emel KIZILOK KARA, Kirikkale University, Faculty of Arts and Sciences, Department of Actuarial Science, Kirikkale - TURKEY
  • E-mail address : emel.kizilok@gmail.com
  • Current address : Sibel ACIK KEMALOGLU Ankara University, Faculty of Sciences, Depart- ment. of Statistics, Ankara, TURKEY (Corresponding Author)
  • E-mail address : acik@science.ankara.edu.tr
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Research Article
Yazarlar

Emel Kızılok Kara Bu kişi benim

Sibel Acık Kemaloglu Bu kişi benim

Yayımlanma Tarihi 1 Ağustos 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 65 Sayı: 2

Kaynak Göster

APA Kızılok Kara, E., & Acık Kemaloglu, S. (2016). PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, 65(2), 175-188. https://doi.org/10.1501/Commua1_0000000768
AMA Kızılok Kara E, Acık Kemaloglu S. PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. Ağustos 2016;65(2):175-188. doi:10.1501/Commua1_0000000768
Chicago Kızılok Kara, Emel, ve Sibel Acık Kemaloglu. “PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 65, sy. 2 (Ağustos 2016): 175-88. https://doi.org/10.1501/Commua1_0000000768.
EndNote Kızılok Kara E, Acık Kemaloglu S (01 Ağustos 2016) PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 65 2 175–188.
IEEE E. Kızılok Kara ve S. Acık Kemaloglu, “PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH”, Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat., c. 65, sy. 2, ss. 175–188, 2016, doi: 10.1501/Commua1_0000000768.
ISNAD Kızılok Kara, Emel - Acık Kemaloglu, Sibel. “PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 65/2 (Ağustos 2016), 175-188. https://doi.org/10.1501/Commua1_0000000768.
JAMA Kızılok Kara E, Acık Kemaloglu S. PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2016;65:175–188.
MLA Kızılok Kara, Emel ve Sibel Acık Kemaloglu. “PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, c. 65, sy. 2, 2016, ss. 175-88, doi:10.1501/Commua1_0000000768.
Vancouver Kızılok Kara E, Acık Kemaloglu S. PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2016;65(2):175-88.

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics.

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