Search Results - subject:"Copula function"

Multivariate Bilateral Gamma, Copulas, CoSkews and CoKurtosis

Madan, Dilip B. - 2020

Correlation graphs are introduced to delineate the levels observed in data and models for return and squared return correlations. A sample of 2048 representative pairs of equity assets is selected from a possible collection of 381,501 pairs by quantization. Five copulas are estimated and...

Persistent link: https://www.econbiz.de/10012832858

Robust Portfolio Selection with Regime Switching R-Vine Copulas

Su, Xiaoshan - 2020

This paper develops a robust portfolio optimization model based on regime switching R-Vine copulas, where regime switching R-Vine copulas capture asymmetric dependence and regime switching in financial markets. We consider the uncertainty in hidden economic states and define WSCVaR as CVaR in...

Persistent link: https://www.econbiz.de/10012835493

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas : Part A

Dalessandro, Antonio - 2020

We develop a new class of techniques that takes a copula function and quantifies the dependence properties through a … localized coefficient of dependence in the state space. Effectively we develop a numerical procedure to map any copula function … to a generalized Gaussian copula function. This allows us to visualize and interpret the copula functions characteristics …

Persistent link: https://www.econbiz.de/10012855323

Modeling Multi-Country Longevity Risk with Mortality Dependence : A Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach

Zhu, Wenjun - 2020

This paper proposes a new copula model known as the Lévy subordinated hierarchical Archimedean copulas (LSHAC) for multi-country mortality dependence modeling. To the best of our knowledge, this is the first paper to apply the LSHAC model to mortality studies. Through an extensive empirical...

Persistent link: https://www.econbiz.de/10012855990

The Price of Asymmetric Dependence : International Evidence

Alcock, Jamie - 2020

Asymmetric dependence between stock returns and market returns is significantly priced in international equity returns. Of all the commonly considered factors, asymmetric dependence is the only factor priced in all 38 markets examined. Internationally, investors require additional compensation...

Persistent link: https://www.econbiz.de/10012837884

gofCopula : Goodness-of-Fit Tests for Copulae

Okhrin, Ostap - 2020

Last decades show an increased interest of modeling various types of data through copulae. After copulae have been used for the first time in applications in early 2000s, they gained enormous popularity among academics and practitioners in particular after the pitfall of the Gaussian models in...

Persistent link: https://www.econbiz.de/10012838771

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Kremer, Marcel - 2020

All too often, measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However, this may not capture all facets of reality. This paper studies empirical dependencies of daily stock returns by their pairwise copulas. We investigate in...

Persistent link: https://www.econbiz.de/10012842121

Empirical Tail Copulas for Functional Data

Einmahl, John H. J. - 2020

For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of these functions are rank-based estimators whose inflated...

Persistent link: https://www.econbiz.de/10012842451

Optimisation of mixed assets portfolio using copula differential evolution : a behavioural approach

Ababio, Kofi A.; Mba, Jules Clement; Koumba, Ur - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient explanatory power for use in actual deci sion-making problems. In this study, two distinct asset classes (i.e. assets with extremely lower or higher CPT values) are classified and...

Persistent link: https://www.econbiz.de/10012622374

Oil price and exchange rate dependence in selected countries

Nandelenga, Martin Wafula; Simpasa, Anthony Musonda - 2020

Persistent link: https://www.econbiz.de/10012237689