A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

Cuixia Jiang,Xiaoyi Ding,Qifa Xu, Yongbo Tong

The North American Journal of Economics and Finance（2020）

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摘要

•The novel TVM-Copula-MIDAS-GARCH model is developed.•It models time-varying multivariate Copula on mixed frequency data via MIDAS.•It allows mixed frequency factors for nonlinear dependence structure among assets.•Its efficacy is demonstrated through dependence analysis and portfolio selection.

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关键词

Time-varying multivariate copula,Mixed data sampling,MIDAS-Copula,GARCH,Portfolio,VaR

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