Search Results - subject:"Time varying copula"

Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas

Ozun, Alper; Cifter, Atilla - Volkswirtschaftliche Fakultät, … - 2007

special features of the emerging markets. In this paper, we use time-varying copula to estimate the value-at-risk of the …

Persistent link: https://www.econbiz.de/10005622039

Inhomogeneous dependency modelling with time varying copulae

Giacomini, Enzo; Härdle, Wolfgang Karl; Ignatieva, … - 2006

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

Persistent link: https://www.econbiz.de/10010319194

Inhomogeneous Dependency Modelling with Time Varying Copulae

Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

B E R L I N Inhomogeneous Dependency Modelling with Time Varying Copulae Enzo Giacomini1, Wolfgang K. H … widely used methodology for VaR estimation. JEL classification: C 14 Keywords: Value-at-Risk, time varying copula, adaptive … therefore be expected to perform better. The question though is how to steer the time varying copulae parameters. This is …

Persistent link: https://www.econbiz.de/10005677944

The economic value of co-movement between oil price and exchange rate using copula-based GARCH models

Wu, Chih-Chiang; Chung, Huimin; Chang, Yu-Hsien - In: Energy Economics 34 (2012) 1, pp. 270-282

The US dollar is used as the primary currency of international crude oil trading; as such, the recent substantial depreciation in the US dollar has resulted in a corresponding increase in crude oil prices. In addition, oil price and exchange-rate returns have been shown to be skewed and...

Persistent link: https://www.econbiz.de/10010582223

Measuring contagion between energy market and stock market during financial crisis: A copula approach

Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy Economics 34 (2012) 5, pp. 1435-1446

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis. Using the WTI oil spot price, the S&P500 index, the Shanghai stock market composite index and the Shenzhen stock market component...

Persistent link: https://www.econbiz.de/10010593867

Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, M. Ishaq; Nguyen, Cuong C. - In: Journal of International Financial Markets, … 22 (2012) 3, pp. 622-646

misleading in portfolio development. This paper proposes the use of conditional extreme value theory and time-varying copula to …. Conditional extreme value theory enables the model adequacy and the tail behavior of individual financial variable, while the time-varying … copula can fully disclose the changes of dependence structure over time. The combination of both proved to be useful in …

Persistent link: https://www.econbiz.de/10010572101

The economic value of co-movement between oil price and exchange rate using copula-based GARCH models

Wu, Chih-chiang; Chung, Huimin; Chang, Yu-hsien - In: Energy economics 34 (2012) 1, pp. 270-282

Persistent link: https://www.econbiz.de/10009618856

Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646

Persistent link: https://www.econbiz.de/10009623538

Measuring contagion between energy market and stock market during financial crisis : a copula approach

Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy economics 34 (2012) 5, pp. 1435-1446

Persistent link: https://www.econbiz.de/10009688078

The dynamic dependence between the Chinese market and other international stock markets : a time-varying copula approach

Wang, Kehluh; Chen, Yi-Hsuan; Huang, Szu-wei - In: International review of economics & finance : IREF 20 (2011) 4, pp. 654-664

Persistent link: https://www.econbiz.de/10009303893