Search Results - subject:"Copula functions"

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The contagion channels of July-August-2011 stock market crash : a DAG-copula based approach

Jayech, Selma - In: European journal of operational research : EJOR 249 (2016) 2, pp. 631-646

Persistent link: https://www.econbiz.de/10011436789

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach

Necula, Ciprian - In: Journal for Economic Forecasting (2010) 3, pp. 93-106

empirical copula function and the parameters of various parametric copula functions. The main finding is that the t-copula and … the Gumbel-Clayton mixture copula are the most appropriate copula functions to capture the dependency structure of two … financial return series. With the dependency structure given by the estimated copula functions we quantify the efficient …

Persistent link: https://www.econbiz.de/10008685120

Modelling asymmetric dependence using copula functions: An application to value-at-risk in the energy sector

Bastianin, Andrea - 2009

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio …

Persistent link: https://www.econbiz.de/10010279490

Banking stability measures

Segoviano, Miguel A.; Goodhart, Charles - London School of Economics (LSE) - 2009

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes...

Persistent link: https://www.econbiz.de/10010744840

Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector

Bastianin, Andrea - Fondazione ENI Enrico Mattei (FEEM) - 2009

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio …

Persistent link: https://www.econbiz.de/10005012145

A copula-based hierarchical hybrid loss distribution

Bernardi, Enrico; Romagnoli, Silvia - In: Statistics & Risk Modeling 32 (2015) 1, pp. 73-87

Abstract We propose a model for the computation of the loss probability distribution allowing to take into account the not-exchangeable behavior of a portfolio clustered into several classes of homogeneous loans. These classes are classified as `large' or `small' depending on their cardinality....

Persistent link: https://www.econbiz.de/10014621209

The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges

Domino, Krzysztof; Błachowicz, Tomasz - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 142-151

world stock exchanges (New York, London, Frankfurt, Honk Kong, and Sydney) are examined. The copula functions are used to …

Persistent link: https://www.econbiz.de/10011193999

Regional Frequency Analysis of Droughts in China: A Multivariate Perspective

Zhang, Qiang; Qi, Tianyao; Singh, Vijay; Chen, Yongqin; … - In: Water Resources Management 29 (2015) 6, pp. 1767-1787

bivariate copula functions. Then the joint probabilities of droughts can be calculated using the regional probability curves and …

Persistent link: https://www.econbiz.de/10011241227

Stress-testing for portfolios of commodity futures

Paraschiv, Florentina; Mudry, Pierre-Antoine; Andrieş, … - In: Economic modelling 50 (2015), pp. 9-18

Persistent link: https://www.econbiz.de/10011439604

Essays on time series and causality analysis in financial markets

Bessler, David A. (contributor); … - 2008

isexamined in the second essay. The general dependence structure and degree is estimatedusing copula functions. The findings show …

Persistent link: https://www.econbiz.de/10009464873