Search Results - subject:"copula function"

Measuring Contagion between Energy Market and Stock Market During Financial Crisis : A Copula Approach

Wen, Xiaoqian - 2017

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/10012951535

A comparison study of pricing credit default swap index tranches with convex combination of copulae

Okhrin, Ostap; Xu, Yafei - In: The North American journal of economics and finance : a … 42 (2017), pp. 173-217

Persistent link: https://www.econbiz.de/10011938100

Competing risks copula models for unemployment duration : an application to a German Hartz reform

Lo, Simon M. S.; Stephan, Gesine; Wilke, Ralf A. - In: Journal of econometric methods 6 (2017) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011944847

A Note on Tail Dependence Regression

Zhang, Qingzhao - 2017

In financial practice, it is important to understand the dependence structure between the returns of individual assets and the market index. This particularly true under extreme situations. Theoretically, this amounts to regress the dependence relationship against a set of pre-specified...

Persistent link: https://www.econbiz.de/10012974335

Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

Tavin, Bertrand - 2017

This paper deals with the application of Bernstein copulas to the pricing of derivatives written on several underlying assets. We review the main characteristics of this particular family of copulas. We then analyze their properties in a context of multi-asset derivatives pricing, with a focus...

Persistent link: https://www.econbiz.de/10012974824

Modeling stock market indexes with copula functions

Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: e-Finanse: Financial Internet Quarterly 7 (2011) 2, pp. 1-16

models for returns and copula functions. The copula function models provide an effective and interesting technique of … multivariate distribution with a help of corresponding marginal distributions and a selected copula function. In this work we … present an application of copula function to construct multivariate conditional distributions of times series. In the last …

Persistent link: https://www.econbiz.de/10010289522

MODELING STOCK MARKET INDEXES WITH COPULA FUNCTIONS

Leskow, Jacek; Mokrzycka, Justyna; Krawiec, Krzysztof - In: "e-Finanse" 7 (2011) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10010815420

CREDIT RISK TOOLS: AN OVERVIEW

Esposito, Francesco P. - In: Journal of Advanced Studies in Finance II (2011) 1, pp. 18-25

This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...

Persistent link: https://www.econbiz.de/10009653256

Estimation of the interdependence of time series of stocks prices based on copula

Bronshtein, Bronshtein , Efim; Prokudina, Elena; … - In: Applied Econometrics 22 (2011) 2, pp. 22-31

The relationships in the stock markets, the impact on them of the structural changes in the economy, the ability to adequately forecast for a certain period are investigated. The analysis of the interdependence of stock prices by using copula functions is carried out. The statistical estimations...

Persistent link: https://www.econbiz.de/10009131079

Micro-econometric analysis of care for the dependent elderly in France : How do formal and informal care interact ?

Arnault, Louis; Goltz, Andreas; Wittwer, Jérôme - Université Paris-Dauphine (Paris IX) - 2011

copula function, using data from the French\ Handicap Santé Ménages " survey (2008). In contrast with previous literature …, the estimated model allows to simultaneously identify both potential causality directions. Thanks to the copula function …

Persistent link: https://www.econbiz.de/10010707673