Search Results - subject:"regular vine"

Portfolio optimisation under copula-based scenarios

Rungnapa Opartpunyasarn - 2024

Persistent link: https://www.econbiz.de/10014476514

An application of Regular Vine copula in portfolio risk forecasting : evidence from Istanbul stock exchange

Özgür, Cemile; Sarıkovanlık, Vedat - In: Quantitative finance and economics 5 (2021) 3, pp. 452-470

Persistent link: https://www.econbiz.de/10012592480

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics 5 (2017) 1, pp. 1-38

For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...

Persistent link: https://www.econbiz.de/10011755356

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics : open access journal 5 (2017) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10011653689

Paving the way for better telecom performance: Evidence from the telecommunication sector in MENA countries

Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...

Persistent link: https://www.econbiz.de/10011274578

Risk Measurement and Risk Modelling using Applications of Vine Copulas

Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2014

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and … application of Regular Vine metrics is demonstrated via an example of the calculation of the VaR of a portfolio made up of the … may be arranged and analysed in a tree structure to explore multiple dependencies. The paper features the use of Regular …

Persistent link: https://www.econbiz.de/10010377220