Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20
introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for … CoVaR by a joint distribution correction. We test the proposed NTS model on the daily S&P 500 index and Dow Jones index with … in-sample and out-of-sample tests. The results show that the NTS copula outperforms traditional copulas in the accuracy …