Previous evidence shows that better insurance coverage increases medical expenditure. However, formal studies on the effect of spending on health outcomes, and especially mental health, are lacking. To fill this gap, we reanalyze data from the Rand Health Insurance Experiment and estimate a...

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

This paper proposes a novel event-based simulation model for assessing the explicit demand response potential of electric vehicle (EV) charging networks. The model utilizes multivariate copulas in generation of realistic artificial charging events that retain the complex dependency structures...

This paper studies how to construct and compare various optimal portfolio frame-works for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the...

In this paper, we use the copula model so as to compute the Optimal Hedge Ratio. Hedging with OTC markets is probably the most common way of managing risk, and much research has been done within this field. Our investigation contributes to the current literature insofar as we aim to hedge Credit...

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We...