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necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation …In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …
Persistent link: https://www.econbiz.de/10010731320
necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation …In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …
Persistent link: https://www.econbiz.de/10005288424
This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …
Persistent link: https://www.econbiz.de/10011056771
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355
Persistent link: https://www.econbiz.de/10000830424
Persistent link: https://www.econbiz.de/10000981761
Two important issues in the analysis of association among financial markets are the degree of dependence and the … both the issues. In the study presented in this article, we approach the modelling of dependence in two stages. The first … stage is based on modelling the dependence between the returns of two assets by means of a single Archimedean copula …
Persistent link: https://www.econbiz.de/10011137870
market index (represented by the Dow Jones Islamic Market Index) exhibits significant dependence with three major global … dependence varies over time for all cases except the S&P 500 index and is also asymmetric between bear and bull markets in some …
Persistent link: https://www.econbiz.de/10011116384
volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The … time dynamic dependence parameter is allowed to evolve according to a restricted ARMA-type equation which includes a … conjunction with non-elliptical distribution functions and tail dependence measure, the authors are allowing for (and focusing on …
Persistent link: https://www.econbiz.de/10010750265
distribution. Considering the extreme nature of drought variables, the upper tail dependence copula families including two … Archimedean—Gumbel-Hougaard, BB1 and one elliptical—Student’s t copulas are evaluated for modeling joint distribution of drought … best performing copula in modeling the joint dependence structure of drought variables. Also, while comparing with …
Persistent link: https://www.econbiz.de/10010998219