In this paper, the copula theory is used to describe the dependence structure between variables, while the information theory provides the tools necessary to measure the uncertainty associated with these variables. What both theories have in common is copula entropy, which is strictly related to...

It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...

This study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements. The study uses daily return series of four gold stocks and...