Next Article in Journal / Special Issue
Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting
Previous Article in Journal
Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
Previous Article in Special Issue
Goodness-of-Fit Tests for Copulas of Multivariate Time Series
Article Menu

Export Article

Open AccessArticle
Econometrics 2017, 5(2), 20; doi:10.3390/econometrics5020020

Copula-Based Factor Models for Multivariate Asset Returns

1
Department of Economics, University of Augsburg, Universitätsstr. 16, 86159 Augsburg, Germany
2
Department of Mathematics, Technical University of Munich, Boltzmannstr. 3, 85748 Garching, Germany
*
Author to whom correspondence should be addressed.
Academic Editor: Jean-David Fermanian
Received: 29 September 2016 / Revised: 3 May 2017 / Accepted: 3 May 2017 / Published: 17 May 2017
(This article belongs to the Special Issue Recent Developments in Copula Models)
View Full-Text   |   Download PDF [389 KB, uploaded 17 May 2017]   |  

Abstract

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the dependence of unobserved multivariate factors resulting from two dynamic factor models. However, the proposed methodology is general and applicable to several factor models as well as to other copula models for stationary multivariate time series. An empirical study illustrates the forecasting superiority of our approach for constructing an optimal portfolio of U.S. industrial stocks in the mean-variance framework. View Full-Text
Keywords: COPAR model; dynamic factor model; multivariate time series; optimal mean-variance portfolio; vine copula COPAR model; dynamic factor model; multivariate time series; optimal mean-variance portfolio; vine copula
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Ivanov, E.; Min, A.; Ramsauer, F. Copula-Based Factor Models for Multivariate Asset Returns. Econometrics 2017, 5, 20.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top