This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copula and density are derived and many...

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...

Highlights:• State-of-art review of vine copulas and stationary vine copulas.• Two types of vine copula models to capture cross-sectional and temporal dependence in ESG data.• Extreme ESG classes (i.e., classes A and D) show the highest and nonGaussian dependence to the market.• Future...

We propose a multi-asset pricing model which allows both the calibration to single-asset vanilla options, and the specification of any joint terminal distribution at each step of a discrete time grid. We also propose a way to calibrate that joint terminal distributions via normal mean-variance...

Despite the technology sector being highly responsive to market fluctuations, individual instances of its lower sensitivity to high market volatility and crisis are documented. This paper analyzes the dependence between the stock market volatility and technology stocks on the U.S. market using...

For most decisions, we rely on information encountered over the course of days, months or years. We consume this information in various forms, including abstract summaries of multiple data points – statistics – and contextualized anecdotes about individual instances – stories. This paper...

This paper provides a framework for modeling the dependence structure in the foreign exchange market. We first employ generalized autoregressive heteroskedasticity models to estimate the marginal distributions of the exchange rates. The conditional copula is then applied to the marginal...

Climate change and sustainability have become societal focal points in the last decade. Consequently, companies have been increasingly characterized by non-financial information, such as environmental, social, and governance (ESG) scores, based on which companies can be grouped into ESG classes....