This study proposes a GARCH copula quantile regression model to capture the downside and upside tail dependence between oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the nonlinearity of the tail dependence with the marginal...

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and Expected Shortfall, pose challenges due to the rare event character of multiple defaults among obligors in credit portfolios at a high confidence level. We explore various...

This paper solves the robust portfolio selection problem with spectral risk measures under mixture R-vine copula uncertainty. Spectral risk measures are used to capture investors’ subjective risk aversion while R-vine copula change-point detection is employed to better construct mixture R-vine...

Copulas are widely used in financial economics (Brigo 2010) as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes “a natural copula” concept, which minimizes Wasserstein distance between distributions in some space, in which...

In this paper, in order to cope with the problem of endogenous regressors in cases that the linear regression model is non-identifiable, we suggest estimators handling the problem of multicollinearity to improve the performance of the Gaussian copula approach. This problem occurs when the...

The demand for statistically sound decisions and their economic impact on policymaking and trading, involving many variables in trading index volumes, is rapidly increasing. Specifically, the modeling of the dependence structure among a higher number of cryptocurrencies in the crypto market has...

The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and Expected Shortfall, pose challenges due to the rare event character of multiple defaults among obligors in credit portfolios at a high confidence level. We explore various...

Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from July 1, 2014, to December 17, 2019. Vine...