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Ö÷Ì⣺ÑÐѧÂÛ¾µÚÆß½² Modeling High Dimensional Financial Returns Using a Dynamic Skewed Student's t Copula Model
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½²×ù¡¢»áÒéµÄÖØÒªÄÚÈÝ£ºModeling the dependence of a large number of financial returns is useful in asset allocation and risk managment. In this paper, based on Christoffersen et al. (2012) and Gonzlez-Pedraz et al. (2015), we propose a dynamic skewed t copula to model multivariate dependence in a flexible yet parsimonious way. In the empirical analysis of 50 Exchange-Traded Funds (ETFs), it is shown that the new copula has better in-sample and out-of-sample performance than other existing copulas. In particular, the dynamic model is able to distinguish the different dependence patterns during the crisis period and during the tranquil period. It implies to investors that the diversificaiton benefits of most assets become limited when the crisis occurs.
