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...

In this paper we develop a novel semi-nonparametric panel copula model with external covariates for the study of wage rank dynamics. We focus on nonlinear dependence between the current and lagged worker's ranks in the wage residuals distribution, conditionally on individual characteristics. We...

This paper solves the robust portfolio selection problem with spectral risk measures under mixture R-vine copula uncertainty. Spectral risk measures are used to capture investors’ subjective risk aversion while R-vine copula change-point detection is employed to better construct mixture R-vine...

Copulas are widely used in financial economics (Brigo 2010) as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes “a natural copula” concept, which minimizes Wasserstein distance between distributions in some space, in which...

In this paper, in order to cope with the problem of endogenous regressors in cases that the linear regression model is non-identifiable, we suggest estimators handling the problem of multicollinearity to improve the performance of the Gaussian copula approach. This problem occurs when the...

The demand for statistically sound decisions and their economic impact on policymaking and trading, involving many variables in trading index volumes, is rapidly increasing. Specifically, the modeling of the dependence structure among a higher number of cryptocurrencies in the crypto market has...

In this study, we analyse a large sample of Egyptian social pension data which covers, by law, the policyholder's spouse, children, parents and siblings. This data set uniquely enables the study and comparison of pairwise dependence between multiple familial relationships beyond the well-known...

Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...